A New Path-Following Algorithm for Nonlinear P*Complementarity Problems

Authors:
Y. B. Zhao;D. Li
Affiliations:
Institute of Applied Mathematics, AMSS, Chinese Academy of Sciences, Beijing, China 100080;Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, Shatin, Hong Kong
Venue:
Computational Optimization and Applications
Year:
2006

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Abstract

Based on the recent theoretical results of Zhao and Li [Math. Oper. Res., 26 (2001), pp. 119--146], we present in this paper a new path-following method for nonlinear P* complementarity problems. Different from most existing interior-point algorithms that are based on the central path, this algorithm tracks the "regularized central path" which exists for any continuous P* problem. It turns out that the algorithm is globally convergent for any P* problem provided that its solution set is nonempty. By different choices of the parameters in the algorithm, the iterative sequence can approach to different types of points of the solution set. Moreover, local superlinear convergence of this algorithm can also be achieved under certain conditions.