A power penalty method for a bounded nonlinear complementarity problem
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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
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.
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