A two-stage successive overrelaxation algorithm for solving the symmetric linear complementarity problem

We propose a two-stage successive overrelaxation method (TSOR) algorithm for solving the symmetric linear complementarity problem. After the first SOR preprocessing stage this algorithm concentrates on updating a certain prescribed subset of variables which is determined by exploiting the complementarity property. We demonstrate that this algorithm successfully solves problems with up to ten thousand variables.This material is based on research supported by National Science Foundation Grants DCR-8420963 and DCR-8521228 and Air Force Office of Scientific Research Grants AFSOR-86-0172 and AFSOR-86-0255 while the author was at the Computer Sciences Department at the University of Wisconsin-Madison, USA.