On an enumerative algorithm for solving eigenvalue complementarity problems

Luís Fernandes (lmerca@co.it.pt), Joaquim Júdice (joaquim.judice@co.it.pt), Hanif Sherali (hanifs@vt.edu) and Maria Forjaz (maf@math.uminho.pt)

Computational Optimization and Applications, 2014, vol. 59, issue 1, 113-134

Abstract: In this paper, we discuss the solution of linear and quadratic eigenvalue complementarity problems (EiCPs) using an enumerative algorithm of the type introduced by Júdice et al. (Optim. Methods Softw. 24:549–586, 2009 ). Procedures for computing the interval that contains all the eigenvalues of the linear EiCP are first presented. A nonlinear programming (NLP) model for the quadratic EiCP is formulated next, and a necessary and sufficient condition for a stationary point of the NLP to be a solution of the quadratic EiCP is established. An extension of the enumerative algorithm for the quadratic EiCP is also developed, which solves this problem by computing a global minimum for the NLP formulation. Some computational experience is presented to highlight the efficiency and efficacy of the proposed enumerative algorithm for solving linear and quadratic EiCPs. Copyright Springer Science+Business Media New York 2014

Keywords: Eigenvalue problems; Complementarity problems; Nonlinear programming; Global optimization (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10589-012-9529-0

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