标题:
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
作者:
王炜, 贾宗伟, 韩永闯
关键字:
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
期刊名称:
《Operations Research and Fuzziology》, Vol.2 No.2, 2012-05-11
摘要:
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.