On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems
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.
|Entropy function, Finite termination, Newton method, Smoothing approximation, Vertical linear complementarity problems|
|Econometric Institute Research Papers|
|Organisation||Erasmus School of Economics|
Fang, S-C, Han, J, Huang, Z, & Birbil, S.I. (2002). On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems (No. EI 2002-50). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/527