An \(R\)-linearly convergent derivative-free algorithm for nonlinear complementarity problems based on the generalized Fischer-Burmeister merit function (Q843152): Difference between revisions

In the nonlinear complementarity problem (NCP), the objective function that can constitute an equivalent unconstrained minimization problem is called a merit function, whose global minima are coincident with the solutions of the original NCP. The authors propose a merit function in term of a parameter \(p\) based on the generalized Fischer-Burmeister function. Some properties of the proposed merit function are shown, in particular, the conditions under which the merit function provides a global error bound for the NCP. A derivative-free descent algorithm based on the proposed merit function is presented. Its global convergence and local \(R\)-linear convergence rate are established. The influence of the parameter \(p\) on the convergence rate of the algorithm is analyzed. Some numerical experimental results show that the proposed algorithm has a better global convergence and a worse convergence rate when the parameter \(p\) decreases.