Non-interior continuation methods for solving semidefinite complementarity problems

Xin Chen, Paul Tseng

Research output: Contribution to journalArticlepeer-review

Abstract

There recently has been much interest in non-interior continuation/ smoothing methods for solving linear/nonlinear complementarity problems. We describe extensions of such methods to complementarity problems defined over the cone of block-diagonal symmetric positive semidefinite real matrices. These extensions involve the Chen-Mangasarian class of smoothing functions and the smoothed Fischer-Burmeister function. Issues such as existence of Newton directions, boundedness of iterates, global convergence, and local superlinear convergence will be studied. Preliminary numerical experience on semidefinite linear programs is also reported.

Original languageEnglish (US)
Pages (from-to)431-474
Number of pages44
JournalMathematical Programming, Series B
Volume95
Issue number3
DOIs
StatePublished - Mar 1 2003
Externally publishedYes

Keywords

  • Global convergence
  • Local superlinear convergence
  • Non-interior continuation
  • Semidefinite complementarity problem
  • Smoothing function

ASJC Scopus subject areas

  • Software
  • Mathematics(all)

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