On the finite termination of an entropy function based smoothing Newton method for vertical linear complementarity problems

Shu-Cherng Fang, J. Han, Zhen Huang and Ilker Birbil

No EI 2002-50, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: By using a smooth entropy function to approximate the non-smooth max-type function, a vertical linear complementarity problem (VLCP) can be treated as a family of parameterized smooth equations. A Newton-type method with a testing procedure is proposed to solve such a system. We show that the proposed algorithm finds an exact solution of VLCP in a finite number of iterations, under some conditions milder than those assumed in literature. Some computational results are included to illustrate the potential of this approach.

Keywords: Entropy function; Finite termination; Newton method; Smoothing approximation; Vertical linear complementarity problems (search for similar items in EconPapers)
Date: 2002-12-31
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:527

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