Proximal point algorithm for nonlinear complementarity problem based on the generalized fischer-burmeister merit function

Yu-Lin Chang Jein-Shan Chen Jia Wu

Optimization and Control mathscidoc:1910.43954

Journal of Industrial and Management Optimization, 9, (1), 153-169, 2013.1
This paper is devoted to the study of the proximal point algorithm for solving monotone and nonmonotone nonlinear complementarity problems. The proximal point algorithm is to generate a sequence by solving subproblems that are regularizations of the original problem. After given an appropriate criterion for approximate solutions of subproblems by adopting a merit function, the proximal point algorithm is verified to have global and superlinear convergence properties. For the purpose of solving the subproblems efficiently, we introduce a generalized Newton method and show that only one Newton step is eventually needed to obtain a desired approximate solution that approximately satisfies the appropriate criterion under mild conditions. The motivations of this paper are twofold. One is analyzing the proximal point algorithm based on the generalized Fischer-Burmeister function which includes the Fischer-Burmeister function as special case, another one is trying to see if there are relativistic change on numerical performance when we adjust the parameter in the generalized Fischer-Burmeister.
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@inproceedings{yu-lin2013proximal,
  title={Proximal point algorithm for nonlinear complementarity problem based on the generalized fischer-burmeister merit function},
  author={Yu-Lin Chang, Jein-Shan Chen, and Jia Wu},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191020230006722738483},
  booktitle={Journal of Industrial and Management Optimization},
  volume={9},
  number={1},
  pages={153-169},
  year={2013},
}
Yu-Lin Chang, Jein-Shan Chen, and Jia Wu. Proximal point algorithm for nonlinear complementarity problem based on the generalized fischer-burmeister merit function. 2013. Vol. 9. In Journal of Industrial and Management Optimization. pp.153-169. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191020230006722738483.
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