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.
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Received: October 1999 / Accepted: April 2002 Published online: December 19, 2002
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ID="⋆" This research is supported by National Science Foundation Grant CCR-9731273.
Key words. semidefinite complementarity problem – smoothing function – non-interior continuation – global convergence – local superlinear convergence
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Chen, X., Tseng, P. Non-Interior continuation methods for solving semidefinite complementarity problems. Math. Program., Ser. A 95, 431–474 (2003). https://doi.org/10.1007/s10107-002-0306-1
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DOI: https://doi.org/10.1007/s10107-002-0306-1