Solution of a general linear complementarity problem using smooth optimization and its application to bilinear programming and LCP

L. Fernandes, A. Friedlander, M. C. Guedes and J. Júdice

Abstract

This paper addresses a General Linear Complementarity Problem (GLCP) that has found applications in global optimization. It is shown that a solution of the GLCP can be computed by finding a stationarity point of a differentiable function over a set defined by simple bounds on the variables. The application of this result to the solution of bilinear programs and LCPs is discussed. Some computational experience of its usefulness is included in the last part of the paper.