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A non-interior-point continuation method for linear complementarity problems. (English) Zbl 0788.65073
The authors present a continuation method for the linear complementary problem: “Find an \(x\in \mathbb{R}^ n\) such that \(x\geq 0\), \(w= Mx+ q\geq 0\) and \(w^ T x=0\), where \(M\) is an \(n\times n\) matrix and \(q\in\mathbb{R}^ n\)”.
The given method is based on a class of interior-point algorithms. Computational tests are given and the results are compared with the polynomial path following algorithm and Lemke’s algorithm.

MSC:
65K05 Numerical mathematical programming methods
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
Software:
SPARSPAK
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