A power penalty method for a bounded nonlinear complementarity problem
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We propose a novel power penalty approach to the bounded nonlinear complementarity problem (NCP) in which a reformulated NCP is approximated by a nonlinear equation containing a power penalty term. We show that the solution to the nonlinear equation converges to that of the bounded NCP at an exponential rate when the function is continuous and ξ-monotone. A higher convergence rate is also obtained when the function becomes Lipschitz continuous and strongly monotone. Numerical results on discretized ‘double obstacle’ problems are presented to confirm the theoretical results.
The Version of Record of this manuscript has been published and is available in Optimization (2015), http://www.tandfonline.com/10.1080/02331934.2014.967236
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