A two-phase algorithm for the multiparametric linear complementarity problem

DOI10.1016/J.EJOR.2016.04.043MaRDI QIDQ323406zbMATH OpenOpenAlexFDO

Authors Nathan Adelgren, Margaret M. Wiecek

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2016.04.043

zbMATH Keywords

convex programminglinear complementarity problemsufficient matrixmultiparametric optimizationtwo-phase method

Mathematics Subject Classification ID

Convex programming (90C25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cites work

• A Parametric Linear Complementarity Technique for Optimal Portfolio Selection with a Risk-Free Asset
• A field guide to the matrix classes found in the literature of the linear complementarity problem
• A method for solving the general parametric linear complementarity problem
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• A new resolution method for the parametric linear complementarity problem
• A novel approach to multiparametric quadratic programming
• An algorithm for multi-parametric quadratic programming and explicit MPC solutions
• An output-sensitive algorithm for multi-parametric LCPs with sufficient matrices
• Continuous selection and unique polyhedral representation of solutions to convex parametric quadratic programs
• Enumeration-based approach to solving parametric linear complementarity problems
• Explicit nonlinear model predictive control. Theory and applications
• International portfolio choice and political instability risk: a multi-objective approach
• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• Monotone solutions of the parametric linear complementarity problem
• Multiple criteria decision aiding for finance: an updated bibliographic survey
• Nonlinear Programming
• On the facet-to-facet property of solutions to convex parametric quadratic programs
• On the parametric linear complementarity problem
• On the solution of some (parametric) linear complementarity problems with applications to portfolio selection, structural engineering and actuarial graduation
• Portfolio rebalancing model using multiple criteria
• The Linear Complementarity Problem

Cited in

(5)

• An RLT approach for solving the binary-constrained mixed linear complementarity problem
• Two-level additive Schwarz algorithms for nonlinear complementarity problem with anM-function
• An output-sensitive algorithm for multi-parametric LCPs with sufficient matrices
• A method for solving the general parametric linear complementarity problem
• Enumeration-based approach to solving parametric linear complementarity problems

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Uses Software

• MPT

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