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A dual exact penalty formulation for the linear complementarity problem

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Abstract

We consider a dual exact penalty formulation for the monotone linear complementarity problem. Tihonov regularization is then used to reduce the solution of the problem to the solution of a sequence of positive-definite, symmetric quadratic programs. A modified form of an SOR method due to Mangasarian is proposed to solve these quadratic programs. We also indicate how to obtain approximate solutions to predefined tolerance by solving a single quadratic program, in special cases.

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References

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Authors and Affiliations

  1. Department of Mathematics and Computer Science, California State University, Los Angeles, Los Angeles, California

    P. K. Subramanian (Professor)

Authors
  1. P. K. Subramanian
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Communicated by O. L. Mangasarian

This research was sponsored by US Army Contract DAAG29-80-C-0041, by National Science Foundation Grants DCR-8420963 and MCS-8102684, and AFSOR Grant AFSOR-ISSA-85-0880.

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Subramanian, P.K. A dual exact penalty formulation for the linear complementarity problem. J Optim Theory Appl 58, 525–538 (1988). https://doi.org/10.1007/BF00939395

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