By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach.

, , , ,
, ,
Erasmus Research Institute of Management
hdl.handle.net/1765/225
ERIM Report Series Research in Management
Erasmus Research Institute of Management

Birbil, S.I, Fang, S-C, & Han, J. (2002). On the Finite Termination of An Entropy Function Based Smoothing Newton Method for Vertical Linear Complementarity Problems (No. ERS-2002-72-LIS). ERIM Report Series Research in Management. Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/225