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A lower bound on the iterative complexity of the Harker and Pang globalization technique of the Newton-min algorithm for solving the linear complementarity problem

Jean-Pierre Dussault (Jean-Pierre.Dussault***at***Usherbrooke.ca)
Mathieu Frappier (Mathieu.Frappier***at***usherbrooke.ca)
Jean Charles Gilbert (Jean-Charles.Gilbert***at***inria.fr)

Abstract: The plain Newton-min algorithm for solving the linear complementarity problem (LCP) 0 ≤ x ⊥ (Mx+q) ≥ 0 can be viewed as an instance of the plain semismooth Newton method on the equational version min(x,Mx+q) = 0 of the problem. This algorithm converges for any q when M is an M-matrix, but not when it is a P-matrix. When convergence occurs, it is often very fast (in at most n iterations for an M-matrix, where n is the number of variables, but often much faster in practice). In 1990, Harker and Pang proposed to improve the convergence ability of this algorithm by introducing a stepsize along the Newton-min direction that results in a jump over at least one of the encountered kinks of the min-function, in order to avoid its points of nondifferentiability. This paper shows that, for the Fathi problem (an LCP with a positive definite symmetric matrix M, hence a P-matrix), an algorithmic scheme, including the algorithm of Harker and Pang, may require n iterations to converge, depending on the starting point.

Keywords: Iterative complexity, linear complementarity problem, Fathi and Murty problems, globalization, Harker and Pang algorithm, line search, Newton-min algorithm, nondegenerate matrix, P-matrix, semismooth Newton method

Category 1: Complementarity and Variational Inequalities

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation:

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Entry Submitted: 06/02/2018
Entry Accepted: 06/02/2018
Entry Last Modified: 05/25/2019

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