A lower bound on the iterative complexity of the Harker and Pang globalization technique of the Newton-min algorithm for solving the linear complementarity problem
The plain Newton-min algorithm for solving the linear complementarity problem (LCP) “0⩽x⊥(Mx+q)⩾0” can be viewed as an instance of the plain semismooth Newton method on the equational version “min(x,Mx+q)=0” of the problem. This algorithm converges for any q when M is an M-matrix, but not when it is...
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| Autores principales: | , , |
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| Formato: | article |
| Lenguaje: | EN |
| Publicado: |
Elsevier
2019
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/e96a6ead91534eb1801297a47f42427e |
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| Sumario: | The plain Newton-min algorithm for solving the linear complementarity problem (LCP) “0⩽x⊥(Mx+q)⩾0” can be viewed as an instance of the plain semismooth Newton method on the equational version “min(x,Mx+q)=0” of the problem. This algorithm converges for any q when M is an M-matrix, but not when it is a P-matrix. When convergence occurs, it is often very fast (in at most n iterations for an M-matrix, where n is the number of variables, but often much faster in practice). In 1990, Harker and Pang proposed to improve the convergence ability of this algorithm by introducing a stepsize along the Newton-min direction that results in a jump over at least one of the encountered kinks of the min-function, in order to avoid its points of nondifferentiability. This paper shows that, for the Fathi problem (an LCP with a positive definite symmetric matrix M, hence a P-matrix), an algorithmic scheme, including the algorithm of Harker and Pang, may require n iterations to converge, depending on the starting point. |
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