Abstract
In this paper we discuss three applications of a class of (parametric) linear complementarity problems arising independently from such diverse areas as portfolio selection, structural engineering and actuarial graduation. After explaining how the complementarity problems emerge in these applications, we perform some analytical comparisons (based on operation counts and storage requirements) of several existing algorithms for solving this class of complementarity problems. We shall also present computational results to support the analytical comparisons. Finally, we deduce some conclusions about the general performance of these algorithms.
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This research is supported in part by the United States Army under Contract No. DAAG29-75-C-0024, the National Science Foundation under Grant No. MCS75-17385 and Grant ENG77-11136.
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Pang, J.S., Kaneko, I. & Hallman, W.P. On the solution of some (parametric) linear complementarity problems with applications to portfolio selection, structural engineering and actuarial graduation. Mathematical Programming 16, 325–347 (1979). https://doi.org/10.1007/BF01582119
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DOI: https://doi.org/10.1007/BF01582119