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128
Engineering and economic applications of complementarity problems
 SIAM Review
, 1997
"... Abstract. This paper gives an extensive documentation of applications of finitedimensional nonlinear complementarity problems in engineering and equilibrium modeling. For most applications, we describe the problem briefly, state the defining equations of the model, and give functional expressions f ..."
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Cited by 127 (24 self)
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Abstract. This paper gives an extensive documentation of applications of finitedimensional nonlinear complementarity problems in engineering and equilibrium modeling. For most applications, we describe the problem briefly, state the defining equations of the model, and give functional expressions for the complementarity formulations. The goal of this documentation is threefold: (i) to summarize the essential applications of the nonlinear complementarity problem known to date, (ii) to provide a basis for the continued research on the nonlinear complementarity problem, and (iii) to supply a broad collection of realistic complementarity problems for use in algorithmic experimentation and other studies.
A New Merit Function For Nonlinear Complementarity Problems And A Related Algorithm
, 1997
"... We investigate the properties of a new merit function which allows us to reduce a nonlinear complementarity problem to an unconstrained global minimization one. Assuming that the complementarity problem is defined by a P 0 function we prove that every stationary point of the unconstrained problem ..."
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Cited by 73 (6 self)
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We investigate the properties of a new merit function which allows us to reduce a nonlinear complementarity problem to an unconstrained global minimization one. Assuming that the complementarity problem is defined by a P 0 function we prove that every stationary point of the unconstrained problem is a global solution; furthermore, if the complementarity problem is defined by a uniform P function, the level sets of the merit function are bounded. The properties of the new merit function are compared with those of the MangasarianSolodov's implicit Lagrangian and Fukushima's regularized gap function. We also introduce a new, simple, activeset local method for the solution of complementarity problems and show how this local algorithm can be made globally convergent by using the new merit function.
MCPLIB: A Collection of Nonlinear Mixed Complementarity Problems
 Optimization Methods and Software
, 1994
"... The origins and some motivational details of a collection of nonlinear mixed complementarity problems are given. This collection serves two purposes. Firstly, it gives a uniform basis for testing currently available and new algorithms for mixed complementarity problems. Function and Jacobian evaluat ..."
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Cited by 64 (27 self)
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The origins and some motivational details of a collection of nonlinear mixed complementarity problems are given. This collection serves two purposes. Firstly, it gives a uniform basis for testing currently available and new algorithms for mixed complementarity problems. Function and Jacobian evaluations for the resulting problems are provided via a GAMS interface, making thorough testing of algorithms on practical complementarity problems possible. Secondly, it gives examples of how to formulate many popular problem formats as mixed complementarity problems and how to describe the resulting problems in GAMS format. We demonstrate the ease and power of formulating practical models in the MCP format. Given these examples, it is hoped that this collection will grow to include many problems that test complementarity algorithms more fully. The collection is available by anonymous ftp. Computational results using the PATH solver covering all of these problems are described. 1 Introduction R...
Smoothing Methods for Convex Inequalities and Linear Complementarity Problems
 Mathematical Programming
, 1993
"... A smooth approximation p(x; ff) to the plus function: maxfx; 0g, is obtained by integrating the sigmoid function 1=(1 + e \Gammaffx ), commonly used in neural networks. By means of this approximation, linear and convex inequalities are converted into smooth, convex unconstrained minimization probl ..."
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Cited by 62 (6 self)
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A smooth approximation p(x; ff) to the plus function: maxfx; 0g, is obtained by integrating the sigmoid function 1=(1 + e \Gammaffx ), commonly used in neural networks. By means of this approximation, linear and convex inequalities are converted into smooth, convex unconstrained minimization problems, the solution of which approximates the solution of the original problem to a high degree of accuracy for ff sufficiently large. In the special case when a Slater constraint qualification is satisfied, an exact solution can be obtained for finite ff. Speedup over MINOS 5.4 was as high as 515 times for linear inequalities of size 1000 \Theta 1000, and 580 times for convex inequalities with 400 variables. Linear complementarity problems are converted into a system of smooth nonlinear equations and are solved by a quadratically convergent Newton method. For monotone LCP's with as many as 400 variables, the proposed approach was as much as 85 times faster than Lemke's method. Key Words: Smo...
Interfaces to PATH 3.0: Design, Implementation and Usage
 Computational Optimization and Applications
, 1998
"... Several new interfaces have recently been developed requiring PATH to solve a mixed complementarity problem. To overcome the necessity of maintaining a different version of PATH for each interface, the code was reorganized using objectoriented design techniques. At the same time, robustness issues ..."
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Cited by 47 (17 self)
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Several new interfaces have recently been developed requiring PATH to solve a mixed complementarity problem. To overcome the necessity of maintaining a different version of PATH for each interface, the code was reorganized using objectoriented design techniques. At the same time, robustness issues were considered and enhancements made to the algorithm. In this paper, we document the external interfaces to the PATH code and describe some of the new utilities using PATH. We then discuss the enhancements made and compare the results obtained from PATH 2.9 to the new version. 1 Introduction The PATH solver [12] for mixed complementarity problems (MCPs) was introduced in 1995 and has since become the standard against which new MCP solvers are compared. However, the main user group for PATH continues to be economists using the MPSGE preprocessor [36]. While developing the new PATH implementation, we had two goals: to make the solver accessible to a broad audience and to improve the effecti...
A Penalized FischerBurmeister NcpFunction: Theoretical Investigation And Numerical Results
, 1997
"... We introduce a new NCPfunction that reformulates a nonlinear complementarity problem as a system of semismooth equations \Phi(x) = 0. The new NCPfunction possesses all the nice properties of the FischerBurmeister function for local convergence. In addition, its natural merit function \Psi(x) = ..."
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Cited by 43 (12 self)
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We introduce a new NCPfunction that reformulates a nonlinear complementarity problem as a system of semismooth equations \Phi(x) = 0. The new NCPfunction possesses all the nice properties of the FischerBurmeister function for local convergence. In addition, its natural merit function \Psi(x) = 1 2 \Phi(x) T \Phi(x) has all the nice features of the KanzowYamashitaFukushima merit function for global convergence. In particular, the merit function has bounded level sets for a monotone complementarity problem with a strictly feasible point. This property allows the existing semismooth Newton methods to solve this important class of complementarity problems without additional assumptions. We investigate the properties of a semismooth Newtontype method based on the new NCPfunction and apply the method to a large class of complementarity problems. The numerical results indicate that the new algorithm is extremely promising.
Augmented Lagrangian methods under the Constant Positive Linear Dependence constraint qualification
"... ..."
Algorithms For Complementarity Problems And Generalized Equations
, 1995
"... Recent improvements in the capabilities of complementarity solvers have led to an increased interest in using the complementarity problem framework to address practical problems arising in mathematical programming, economics, engineering, and the sciences. As a result, increasingly more difficult pr ..."
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Cited by 41 (5 self)
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Recent improvements in the capabilities of complementarity solvers have led to an increased interest in using the complementarity problem framework to address practical problems arising in mathematical programming, economics, engineering, and the sciences. As a result, increasingly more difficult problems are being proposed that exceed the capabilities of even the best algorithms currently available. There is, therefore, an immediate need to improve the capabilities of complementarity solvers. This thesis addresses this need in two significant ways. First, the thesis proposes and develops a proximal perturbation strategy that enhances the robustness of Newtonbased complementarity solvers. This strategy enables algorithms to reliably find solutions even for problems whose natural merit functions have strict local minima that are not solutions. Based upon this strategy, three new algorithms are proposed for solving nonlinear mixed complementarity problems that represent a significant improvement in robustness over previous algorithms. These algorithms have local Qquadratic convergence behavior, yet depend only on a pseudomonotonicity assumption to achieve global convergence from arbitrary starting points. Using the MCPLIB and GAMSLIB test libraries, we perform extensive computational tests that demonstrate the effectiveness of these algorithms on realistic problems. Second, the thesis extends some previously existing algorithms to solve more general problem classes. Specifically, the NE/SQP method of Pang & Gabriel (1993), the semismooth equations approach of De Luca, Facchinei & Kanz...
Global and superlinear convergence of the smoothing Newton method and its application to general box constrained variational inequalities
 Mathematics of Computation
, 1998
"... Abstract. The smoothing Newton method for solving a system of nonsmooth equations F (x) = 0, which may arise from the nonlinear complementarity problem, the variational inequality problem or other problems, can be regarded as a variant of the smoothing method. At the kth step, the nonsmooth functio ..."
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Cited by 34 (16 self)
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Abstract. The smoothing Newton method for solving a system of nonsmooth equations F (x) = 0, which may arise from the nonlinear complementarity problem, the variational inequality problem or other problems, can be regarded as a variant of the smoothing method. At the kth step, the nonsmooth function F is approximated by a smooth function f(·,εk), and the derivative of f(·,εk) at x k is used as the Newton iterative matrix. The merits of smoothing methods and smoothing Newton methods are global convergence and convenience in handling. In this paper, we show that the smoothing Newton method is also superlinearly convergent if F is semismooth at the solution and f satisfies a Jacobian consistency property. We show that most common smooth functions, such as the GabrielMoré function, have this property. As an application, we show that for box constrained variational inequalities if the involved function is P –uniform, the iteration sequence generated by the smoothing Newton method will converge to the unique solution of the problem globally and superlinearly (quadratically). 1.