Numerische Mathematik

, Volume 111, Issue 2, pp 251–266 | Cite as

An algorithm for the fast solution of symmetric linear complementarity problems

  • José Luis Morales
  • Jorge Nocedal
  • Mikhail Smelyanskiy
Article

Abstract

This paper studies algorithms for the solution of mixed symmetric linear complementarity problems. The goal is to compute fast and approximate solutions of medium to large sized problems, such as those arising in computer game simulations and American options pricing. The paper proposes an improvement of a method described by Kocvara and Zowe (Numer Math 68:95–106, 1994) that combines projected Gauss–Seidel iterations with subspace minimization steps. The proposed algorithm employs a recursive subspace minimization designed to handle severely ill-conditioned problems. Numerical tests indicate that the approach is more efficient than interior-point and gradient projection methods on some physical simulation problems that arise in computer game scenarios.

Mathematics Subject Classification (2000)

65K05 90C30 

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Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  • José Luis Morales
    • 1
  • Jorge Nocedal
    • 2
  • Mikhail Smelyanskiy
    • 3
  1. 1.Departamento de MatemáticasInstituto Tecnológico Autónomo de MéxicoMexico CityMexico
  2. 2.Department of Electrical Engineering and Computer ScienceNorthwestern UniversityChicagoUSA
  3. 3.The Intel CorporationSanta ClaraUSA

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