A Pivotal Method for Affine Variational Inequalities

نویسندگان

  • Menglin Cao
  • Michael C. Ferris
چکیده

We explain and justify a path-following algorithm for solving the equations Af^ix) = a, where A is a. linear transformation from R" to R", C is a polyhedral convex subset of R", and Ac is the associated normal map. When A^ is coherently oriented, we are able to prove that the path following method terminates at the unique solution of A^ix) = a, which is a generalization of the weU known fact that Lemke's method terminates at the unique solution of LCP (q, M) when Af is a P = matrix. Otherwise, we identify two classes of matrices which are analogues of the class of copositive-plus and L-matrices in the study of the linear complementarity problem. We then prove that our algorithm processes A^ix) = a when A is the linear transformation associated with such matrices. That is, when applied to such a problem, the algorithm will find a solution unless the problem is infeasible in a well specified sense.

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عنوان ژورنال:
  • Math. Oper. Res.

دوره 21  شماره 

صفحات  -

تاریخ انتشار 1996