[1]范琼琪,孙哲.解混合线性互补问题的罚方法研究[J].江西师范大学学报(自然科学版),2015,(02):215-217.
 FAN Qiongqi,SUN Zhe.The Penalty Method for Solving Mixed Linear Complementarity Problems[J].Journal of Jiangxi Normal University:Natural Science Edition,2015,(02):215-217.
点击复制

解混合线性互补问题的罚方法研究()
分享到:

《江西师范大学学报》(自然科学版)[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2015年02期
页码:
215-217
栏目:
出版日期:
2015-04-10

文章信息/Info

Title:
The Penalty Method for Solving Mixed Linear Complementarity Problems
作者:
范琼琪;孙哲
江西师范大学数学与信息科学学院,江西 南昌 330022
Author(s):
FAN QiongqiSUN Zhe
关键词:
混合线性互补问题 罚方法 收敛性
Keywords:
mixed linear complementarity problem penalty method the convergence
分类号:
O 221.1; O 211.6
文献标志码:
A
摘要:
在将混合线性互补问题转化为求解非光滑方程组的基础上,建立了求解混合线性互补问题的罚方法,并且在一定条件下证明了算法的收敛性,最后通过数值算例验证了算法的可行性.
Abstract:
Mixed linear complementarity problem can be reformulated as a nonsmooth equation.A penalty function method is proposed for solving the mixed linear complementarity problem.The convergence of the algorithm is established.Preliminary experiments show the effectiveness of the algorithm.

参考文献/References:

[1] Sun Zhe,Zeng Jinping.A damped semismooth Newtonmethod for mixed linear complementarity problems [J].Optim Methods Softw,2011,26(2):187-205.
[2] Ortega J M,Rheinboldt W C.Iterative solution of nonlinear equations in several variables[M].San Diego-New York-London:Academic Press,1970.
[3] Facchinei F,Pang J S.Finite-dimensional variational inequalities and complementarity problems [M].New York:Springer,2003.
[4] Ferris M C,Pang J S.Engineering and economic applications of complementarity problems [J].SIAM Review,1997,39(4):669-713.
[5] Wang Song,Yang Xiaoqi.A power penalty method for a linear complementarity problems [J].Oper Res Lett,2008,36:211-214.
[6] Huang Chongchao,Wang Song.A power penalty approach to a nonlinear complementarity problem [J].Oper Res Lett,2010,38(1):72-76.
[7] Huang Chongchao,Wang Song.A penalty method for a mixed nonlinear complementarity problem [J].Nonlinear Anal,2012,5(2):588-597.
[8] Forsyth P A,Vetzal K R.Quadratic convergence for valuing American options using a penalty method [J].SIAM J Sci Comput,2002,23(6):2095-2122.
[9] Wang Song,Yang Xiaoqi,Teo K L.Power penalty method for a linear complementarity problem arising from American option valuation [J].J Optim Theory Appl,2006,129(2):227-254.
[10] Zhang Kai,Yang Xiaoqi,Teo K L.Convergence analysis of a monotonic penalty method for American option pricing [J].J Math Anal Appl,2008,348(2):915-926.
[11] Zhang Kai.Applying a power penalty method to numerically pricing American bond options [J].J Optim Theory Appl,2012,154(1):278-291.
[12] Zhang Kai,Teo K L.Convergence analysis of power penalty method for American bond option pricing [J].J Global Optim,2013,56(4):1313-1323.
[13] 刘哲,孙哲,黄晓梅.求解美式期权定价问题的2类新的迭代算法 [J].江西师范大学学报:自然科学版,2013,37(4):68-72.
[14] Jiang Min,Rui Shen,Xu Xinsheng,et al.Second-order smoothing objective penalty function for constrained optimization problems [J].Numer Funct Anal Optim,2014,35(3):294-309.
[15] Wang Song.A penalty method for a finite-dimensional obstacle problem with derivative constraints [J].Optim Lett,2014,8(6):1799-1811.

备注/Memo

备注/Memo:
国家自然科学基金(11201197,11126147);江西省自然科学基金(20132BAB211011);江西省教育厅基金(GJJ13204)
更新日期/Last Update: 1900-01-01