A Pivotal Method for Affine Variational Inequalities

@article{Cao1996APM,
  title={A Pivotal Method for Affine Variational Inequalities},
  author={Menglin Cao and Michael C. Ferris},
  journal={Math. Oper. Res.},
  year={1996},
  volume={21},
  pages={44-64}
}
  • M. CaoM. Ferris
  • Published 1 February 1996
  • Mathematics, Computer Science
  • Math. Oper. Res.
We explain and justify a path-following algorithm for solving the equations ACx = a, where A is a linear transformation from Rn to Rn, C is a polyhedral convex subset of Rn, and AC is the associated normal map. When AC is coherently oriented, we are able to prove that the path following method terminates at the unique solution of ACx = a, which is a generalization of the well known fact that Lemke's method terminates at the unique solution of LCPq, M when M is a P = matrix. Otherwise, we… 
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