A nonsmooth inexact Newton method for the solution of large-scale nonlinear complementarity problems |
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| Authors: | Francisco Facchinei Christian Kanzow |
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| Institution: | (1) Dipartimento di Informatica e Sistemistica, Università di Roma “La Sapienza”, Via Buonarroti 12, 00185 Roma, Italy;(2) Institute of Applied Mathematics, University of Hamburg, Bundesstrasse 55, D-20146 Hamburg, Germany |
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| Abstract: | A new algorithm for the solation of large-scale nonlinear complementarity problems is introduced. The algorithm is based on
a nonsmooth equation reformulation of the complementarity problem and on an inexact Levenberg-Marquardt-type algorithm for
its solution. Under mild assumptions, and requiring only the approximate solution of a linear system at each iteration, the
algorithm is shown to be both globally and superlinearly convergent, even on degenerate problems. Numerical results for problems
with up to 10 000 variables are presented.
Partially supported by Agenzia Spaziale Italiana, Roma, Italy. |
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| Keywords: | Nonlinear complementarity problems Nonsmooth equations Inexact Newton methods Large-scale problems |
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