A block active set algorithm with spectral choice line search for the symmetric eigenvalue complementarity problem

Carmo P. Brás, Andreas Fischer, Joaquim J. Júdice, Klaus Schönefeld and Sarah Seifert

Applied Mathematics and Computation, 2017, vol. 294, issue C, 36-48

Abstract: In this paper, we address the solution of the symmetric eigenvalue complementarity problem (EiCP) by treating an equivalent reformulation of finding a stationary point of a fractional quadratic program on the unit simplex. The spectral projected-gradient (SPG) method has been recommended to this optimization problem when the dimension of the symmetric EiCP is large and the accuracy of the solution is not a very important issue. We suggest a new algorithm which combines elements from the SPG method and the block active set method, where the latter was originally designed for box constrained quadratic programs. In the new algorithm the projection onto the unit simplex in the SPG method is replaced by the much cheaper projection onto a box. This can be of particular advantage for large and sparse symmetric EiCPs. Global convergence to a solution of the symmetric EiCP is established. Computational experience with medium and large symmetric EiCPs is reported to illustrate the efficacy and efficiency of the new algorithm.

Keywords: Complementarity problems; Eigenvalue problems; Nonlinear programming; Large-scale optimization (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300316305653
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:294:y:2017:i:c:p:36-48

DOI: 10.1016/j.amc.2016.09.005

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().