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Studies On Efficient Algorithms For Finite-Dimensional Variational Inequality And Complementarity Problems

Posted on:2011-06-28Degree:MasterType:Thesis
Country:ChinaCandidate:X B WangFull Text:PDF
GTID:2120330338478119Subject:Computational Mathematics
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Finite-dimensional variational inequality and complementarity problem are a classof important mathematical programming problems. Their numerical methods are stud-ied in this thesis.For finite-dimensional nonlinear complementarity problem (denoted by NCP), itcan be reformulated as a nonsmooth system of equations. Based on smoothing ideas,the nonsmooth equation is approximated by a family of parameterized smooth equa-tions by introducing a new smoothing function. A smoothing Newton method is pro-posed for the solution of the parameterized smooth equations. Under appropriateassumptions, it is proved that the algorithmic sequence globally and quadratically con-verges to a solution of NCP. Numerical results also show that this algorithm is e?cient.Secondly, based on a reformulation of NCP as a system of nonsmooth equationsby using the generalized Fischer-Burmeister function, a smoothing trust region al-gorithm with line search is proposed for solving general (not necessarily monotone)nonlinear complementarity problems. Global convergence and, under a nonsingularityassumption, local superlinear/quadratic convergence of the algorithm are established.In particular, it is proved that a unit step size is always accepted after a finite numberof iterations. Extensive numerical results indicate that this algorithm is practicallyefficient and promising.For finite-dimensional variational inequality (denoted by VI), a new quasi-Newtonalgorithm for the solution of general box constrained variational inequality problemis proposed. It is based on a reformulation of VI as a nonsmooth system of equa-tions by using the median operator. Without smoothing approximation, the proposedquasi-Newton algorithm is directly applied to solve this class of nonsmooth equations.Under appropriate assumptions, it is proved that the algorithmic sequence globallyand superlinearly converges to a solution of general variational inequality. Extensivenumerical results show that this new algorithm works quite well.
Keywords/Search Tags:nonlinear complementarity problem, variational inequality, smooth-ing method, trust region method, quasi-Newton method, global convergence, localsuperlinear convergence
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