Abstract
Mangasarian has shown that the solution of the complementarity problem is equivalent to the solution of a system of nonlinear equations. In this paper, we propose a damped Gauss-Newton algorithm to solve this system, prove that under appropriate hypotheses one gets rapid local convergence, and present computational experience.
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Communicated by O. L. Mangasarian
The author would like to thank Professor Michael Ferris for pointing out a flaw in one of the proofs in an earlier preprint of this paper (Ref. 1). He is grateful to Professor Olvi Mangasarian for bringing to his attention additional references relevant to the material in this paper, and for his suggestions which resulted in a greatly improved presentation.
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Subramanian, P.K. Gauss-Newton methods for the complementarity problem. J Optim Theory Appl 77, 467–482 (1993). https://doi.org/10.1007/BF00940445
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DOI: https://doi.org/10.1007/BF00940445