A non-monotone inexact non-interior continuation method based on a parametric smoothing function for LWCP

Abstract

This paper considers the linear weighted complementarity problem (denoted by LWCP). We introduce a parametric smoothing function which is a broad class of smoothing functions for the LWCP and enjoys some favourable properties. Based on this function, we propose a new non-interior continuation method for solving the LWCP. In general, the non-interior continuation method consists of finding an exact solution of a system of equations at each iteration, which may be cumbersome if one is solving a large-scale problem. To overcome this difficulty, our method uses an inexact Newton method to solve the corresponding linear system approximately and adopts a non-monotone line search to obtain a step size. Under suitable assumptions, we show that the proposed method is globally and locally quadratically convergent. Preliminary numerical results are also reported.