An R-linearly convergent derivative-free algorithm for nonlinear complementarity problems based on the generalized Fischer–Burmeister merit function

摘要

In the paper [J.-S. Chen, S. Pan, A family of NCP-functions and a descent method for the nonlinear complementarity problem, Computational Optimization and Applications, 40 (2008) 389–404], the authors proposed a derivative-free descent algorithm for nonlinear complementarity problems (NCPs) by the generalized Fischer–Burmeister merit function: ψp(a,b)=12[‖(a,b)‖p−(a+b)]2, and observed that the choice of the parameter p has a great influence on the numerical performance of the algorithm. In this paper, we analyze the phenomenon theoretically for a derivative-free descent algorithm which is based on a penalized form of ψp and uses a different direction from that of Chen and Pan. More specifically, we show that the algorithm proposed is globally convergent and has a locally R-linear convergence rate, and furthermore, its convergence rate will become worse when the parameter p decreases. Numerical results are also reported for the test problems from MCPLIB, which further verify the theoretical results obtained.