On the Finite Termination of An Entropy Function Based Smoothing Newton Method for Vertical Linear Complementarity Problems

Ilker Birbil, Shu-Cherng Fang and J. Han

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

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: Newton method; entropy function; finite termination; smoothing approximation; vertical linear complementarity problems (search for similar items in EconPapers)
JEL-codes: M M11 R4 (search for similar items in EconPapers)
Date: 2002-09-16
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