An NE/SQP Method for the Bounded Nonlinear Complementarity Problem

NE/SQP (Refs. 2–3) is a recent algorithm that has proven quite effective for solving the nonlinear complementarity problem (NCP). NE/SQP is robust in the sense that its direction-finding subproblems are always solvable; in addition, the convergence rate of this method is q-quadratic. In this note, we consider a generalized version of NE/SQP, as first described in Ref. 4, which is suitable for the bounded NCP. We extend the work in Ref. 4 by demonstrating a stronger convergence result and present numerical results on test problems.