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一类修正的广义拟牛顿法解互补问题 A Class of Modified Generalized Quasi-Newtion Algorithms for Solving Complementarity Problem

Author(s): 王炜 | 贾宗伟 | 韩永闯

Journal: Operations Research and Fuzziology
ISSN 2163-1476

Volume: 02;
Issue: 02;
Start page: 19;
Date: 2012;
Original page

Keywords: 互补问题 | 无约束优化问题 | 广义拟牛顿算法 | Complementarity Problem | Unconstrained Optimization Problem | Generalized Quasi-Newtion Algorithms

互补问题自被提出至今,人们对它进行了一系列研究,提出了许多有效算法,比较常用的有投影法、内点法、光滑(非光滑)牛顿法等。本文利用Fischer-Burmeister函数将互补问题转化为无约束优化问题,再利用修正的广义拟牛顿算法求解。改进后的算法经数值实验验证有良好的数值效果。 Since the complementarity problem is proposed, people have done series of research, propose a lot of efficient algorithms, more used methods are projection method, interior-point method, smooth (nonsmooth) Newton method, etc. In this paper, complementarity problem is convert into unconstrained optimization by using Fischer-Burmeister function, then unconstrained optimization is solved by modified generalized quasi-Newton algorithm. the improved algorithm has good numerical results verified by numerical experiments.
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