Smooth methods of multipliers for complementarity problems

Jonathan Eckstein, Michael C. Ferris

Research output: Contribution to journalArticlepeer-review

34 Scopus citations

Abstract

This paper describes several methods for solving nonlinear complementarity problems. A general duality framework for pairs of monotone operators is developed and then applied to the monotone complementarity problem, obtaining primal, dual, and primal-dual formulations. We derive Bregman-function-based generalized proximal algorithms for each of these formulations, generating three classes of complementarity algorithms. The primal class is well-known. The dual class is new and constitutes a general collection of methods of multipliers, or augmented Lagrangian methods, for complementarity problems. In a special case, it corresponds to a class of variational inequality algorithms proposed by Gabay. By appropriate choice of Bregman function, the augmented Lagrangian subproblem in these methods can be made continuously differentiable. The primal-dual class of methods is entirely new and combines the best theoretical features of the primal and dual methods. Some preliminary computation shows that this class of algorithms is effective at solving many of the standard complementarity test problems.

Original languageEnglish (US)
Pages (from-to)65-90
Number of pages26
JournalMathematical Programming, Series B
Volume86
Issue number1
DOIs
StatePublished - 1999

All Science Journal Classification (ASJC) codes

  • Software
  • Mathematics(all)

Keywords

  • Augmented Lagrangians
  • Complementarity problems
  • Proximal algorithms
  • Smoothing

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