On Smoothing Methods for the P0 Matrix Linear

Complementarity Problem
Xiaojun Chen

Yinyu Yey

School of Mathematics
Department of Management Sciences
The University of New South Wales
University of Iowa
Sydney 2052, Australia
Iowa City, IA, USA
E-mail: [email protected]
E-mail: [email protected]

5 March 1998

Abstract

In this paper, we propose a Big-M smoothing method for solving the P0

matrix linear complementarity problem. We study the trajectory dened by
the augmented smoothing equations and global convergence of the method under an assumption that the original P0 matrix linear complementarity problem
has a solution.

Key words. linear complementarity problem, P0 matrix, smoothing algorithm.

AMS subject classications. 65H10, 90C30, 90C33.


y

This author's work was supported by the Australian Research Council.

This author is supported in part by NSF Grants DMI-9522507 and DMS-9703490.

1 Introduction
In this paper we consider the linear complementarity problem (LCP)
tT s = 0; s = Mt + q; and t; s  0;

where M is an n  n P0 matrix and q is an n dimensional vector. A matrix M 2 Rnn

is called a P0 matrix if
max
t (Mt)i  0; for all t 2 Rn ; t 6= 0:
6 i

i:ti =0

A linear complementarity problem is called a P0 matrix LCP if the matrix M is a

P0 matrix. The class of the P0 matrix LCP includes the monotone LCP and the
P matrix LCP. The P0 matrix LCP has been studied extensively under additional

conditions [5, 11].

A dierentiable function on Rn is called a P0 function if its Jacobian is a P0
matrix at every point in Rn. A nonlinear complementarity problem (NCP) is called
a P0 function NCP if the involved function is a P0 function. Kojima, Megiddo and
Noma [10] proved the existence of a trajectory in the interior of the feasible set of
the P0 function NCP under some additional conditions. Their results in uenced
the development of interior point methods and non-interior point methods, and led
several continuation methods for solving P0 function NCP.
Recently, Facchinei and Kanzow [7] applied regularization methods for solving a
continuously dierentiable P0 function NCP under the following assumption.
Assumption 1.1 The solution set of the P0 function NCP is nonempty and bounded.
This assumption is weaker than that Kojima, Megiddo, Noma and Yoshise used in
[10, 11]. Moreover it includes the monotone NCP with an interior point, and the
P0 and R0 NCP [5]. After Facchinei-Kanzow's encouraging work, several algorithms
and theoretical results on regularization methods for the P0 function NCP have been
developed [14, 15, 16] under Assumption 1.1. In particular, Ravindran and Gowda
[15] generalized the results of Facchinei and Kanzow [7] to a continuous P0 function
variational inequality problem with box constraints. Facchinei and Kanzow [7] gave a
counterexample to show that it is not possible to remove the boundedness assumption
of the solution set for regularization methods for solving the P0 matrix LCP, and the
P0 function NCP.
In this paper, we study a \Big-M " smoothing method for the P0 matrix LCP
under the following assumption, which removes the boundedness assumption of the
solution set from Assumption 1.1.
Assumption 1.2 The P0 matrix LCP has a solution.
Big-M interior point methods have been studied for solving the monotone LCP
[12]. The methods add one inequality, with a positive number as the right-hand-side
bound, to bound the variables of the problem. If this inequality contains an original

3
solution, then the augmented problem has a solution and it is also a solution to
the original problem. One can always set suciently big such that the inequality
does contain a solution, assuming that it exists. However, the techniques used in
Big-M interior point methods heavily rely on the monotone property, which cannot
be carried over from the monotone LCP to the P0 matrix LCP. One dierence,
for example, is that the existence of an interior feasible point implies the bounded
solution set for the monotone LCP, but it is not held for the P0 matrix LCP.

Example 1.1

0 1

0
0 1
B
M =@ 0 0

0
0
C
B
1 A and q = @ 0 C
A:
1
0 1 1
It is not dicult to verify that M is a P0 -matrix and that this LCP has the strictly
feasible point (1; 1; 1; 1; 1; 1)T . However, the solution set of the LCP contains the
unbounded line (x1 ; 0; 0; 0; 0; 1)T for all x1  0.
The generalization of Big-M methods to the P0 matrix LCP is nontrivial, see
[11]. In order to make the Big-M smooth path and its neighborhood be bounded, we
have to slightly destroy the P0 property. Furthermore, in contrast with the trajectory
analysis given by Kojima, Megiddo and Noma [10], the existence of suciently short
central path is not guaranteed under Assumption 1.2, see Example 2.1.
We use k
k to denote k
k1: We use e for a vector with all entries equal to 1 and
I for a diagonal matrix with all diagonal entries equal to 1.

2 A Big-M smoothing model

Let

0
M
N =B
@0

0 1

q
0
B
1 0 C
;
p
=
A
@ 0 CA ;
eT 1 1
where r = e Me q and  n + 5 is suciently big.
Let x = (t; ; ) 2 Rn+2 and y = (s; ;  ) 2 Rn+2 . We consider the LCP(N; p)
xT y = 0; y = Nx + p; and x; y  0:
By the construction of the model, we have the following lemma.
r

Lemma 2.1 1. LCP(N; p) has a feasible interior point

t = e;  = 1;  = 1
s = e;  = 1;  =
(n + 2)  1:
2. If (t ; s ) is a solution of LCP(M; q) with eT t  , then

(t; 0;

eT t ; s ; 0; 0) and (t ; 0; 0; s; 0;

eT t )

4
are solutions of LCP(N; p).
3. If LCP(N; p) has a solution, then in every complementarity solution
(t;  ; ; s ; ;  ) of LCP(N; p), (t; s) is a solution of LCP(M; q),  =  = 0
and  +   =
eT t ,
4. The feasible set of LCP(N; p) is bounded.

Notice that N is not a P0 matrix, since Nn+2;n+2 = 1. Although we can easily

construct a P0 matrix which satises Results 1{3 of Lemma 2.1, e.g. set Nn+2;n+2 = 1,
the resulting LCP may have a unbounded solution set. It seems to the authors that
it is hard to construct a Big-M model for the P0 matrix LCP which has both the P0
property and the boundedness of the solution set. This contrasts with the monotone
LCP, for which we always can construct a Big-M model having a bounded solution
set without loss of the monotone property [12, 17].
Nevertheless, the matrix N is a block lower triangular matrix and its rst block
is an (n + 1)  (n + 1) P0 matrix, i.e.,
~ 0 !
N
N=
eT 1
where

r :
N~ := M
0 1

We will often use this fact later.

In what follows, for simplicity, we use z := (x; y). It is easy to verify that the
LCP(N; p) is equivalent to the following system of nonsmooth equations
H0 (z ) :=

Nx + p y
x max(x y; 0)

= 0:

To dene a smoothing approximation function of H0, we employ two density

functions
2
1 () = 2
( + 4) 23
and
(1
if 4    0
2 () = 04 otherwise.
Let

i(xi ; yi; ") = xi

Z (xi

yi )="

and
n+2(xn+2; yn+2; ") = xn+2

(xi yi ")1()d;

Z (xn+2
1

yn+2 )="

i = 1; 2; : : : ; n + 1

(xn+2 yn+2 ")2()d:

5
Calculating the integral, we obtain
q
i(xi; yi; ") = 1 (xi + yi
(xi yi)2 + 4"2); i = 1; 2; : : : n + 1
2
and

8
>
xn+2 yn+2  4"
< xn+2
xn+2 yn+2  0
n+2(xn+2 ; yn+2; ") = > yn+2 2"
: yn+2 1 (xn+2 yn+2)2 2" otherwise
:
8"

Let " > 0. We dene the smoothing approximation function of H0 (z) by

Nx + p y
(x; y; ")

H (z; ") :=

It was shown in [2] (also see [8]) that for the P0 matrix LCP if the corresponding
smooth function is constructed by 1 only, then the smoothing function is continuously dierentiable in R2(n+2) and its Jacobian is nonsingular for every z 2 R2(n+2) ,
and every " > 0. However, the matrix N dened in this section is not a P0 matrix,
and we cannot avoid the singularity if we use 1 alone in . The reason is that if we
use 1 in n+2, when xn+2 yn+2 = 0, H 0(z; ") becomes singular. In order to overcome the singularity, we use a nonsymmetric uniform density function in n+2. The
following lemma shows that we can avoid the singularity by adjusting the smoothing
parameter ".

Lemma 2.2 For every xed " > 0, H is continuously dierentiable in R2(n+2) , and
kH (z; "1) H (z; "2)k  2("1 "2); for z 2 R2(n+2) ; "1 > "2  0:
(2.1)
Furthermore, let M be a P0 matrix. Then H 0(z; ") is nonsingular at z 2 R2(n+2) if
and only if xn+2 yn+2 =
6 2":
Proof: The continuous dierentiability of H follows from that each component of
is continuously dierentiable [3]. By Lemma 2.4 in [8], for i = 1; 2; :::; n + 1

Z1

j i(xi ; yi; "1) i(xi; yi; "2)j  (

and for i = n + 2

Z1

j i(xi ; yi; "1) (xi; yi; "2)j  (

jj1()d)("1 "2) = 2("1 "2);

jj2()d)("1 "2 ) = 2("1 "2):

Now we show the nonsigularity of H 0(z; "). Let

di (xi

yi ; ") =

Z (xi
1

yi )="

1 ()d;

i = 1; 2; :::; n + 1

6
and

dn+2 (xn+2

yn+2 ; ") =

Let
Dn+1 (x y; ") = diag(d1 (x1

and

Z (xn+2
1

yn+2 )="

2 ()d:

y1 ; "); : : : ; dn+1(xn+1

D(x y; ") = diag(Dn+1 (x y; ); dn+2(xn+2

By the denition of H (z; "),
H 0 (z; ") =

yn+1; "))

yn+2 ; ")):

N
I
I D(x y; ") D(x y; ") :

It is well known that H 0(z; ") is nonsingular if and only if I D(x y; ")(I N )
is nonsingular.
Notice that N~ is a P0 matrix, and
I D(x y; ")(I N )
!
~
I
D
(
x
y;
"
)(
I
N
)
0
= nd+1 (x n+1 y ; ")eTn+1
1 2dn+2(xn+2 yn+2; ") :
n+2 n+2
n+2
Since suppf1 g = R and N~ is a P0 matrix, In+1 Dn+1(x y; ")(In+1 N~ ) is
nonsingular [8].
Hence H 0(z; ") is nonsingular if and only if dn+2(xn+2 yn+2; ") 6= 21 . By the
denition of dn+2(xn+2 yn+2; "), we have dn+2(xn+2 yn+2; ") 6= 21 if and only if
xn+2 yn+2 6= 2". This completes this lemma.
We dene the Big-M smooth path as a set of solutions z(") for all 1  " > 0, i.e.,
S" = fz : H (z; ") = 0; 1  " > 0g:
We choose the following neighborhood around the Big-M smooth path:
N = fz : kH (z; ")k  c"; 1  " > 0g;
where c is a positive constant.
Lemma 2.3 If (z; ") satises
kH (z; ")k  c";
(2.2)
then
xi + c"  0; yi + c"  0
(2.3)
and
(xi + c")(yi + c")  2(c + 1)(jxij + jyij)" + (4 + c2)"2;
(2.4)
for i = 1; 2; : : : ; n + 2. Moreover, the neighborhood N is bounded.

Proof: Suppose (z; ) satises (2.2). Then we have

kH (z; ")k = k

Nx + p y
(x; y; ")

k  c":

Set u = (x; y; "): Then u 2 Rn+2 satises

c"  ui  c"; i = 1; 2; : : : ; n + 2:

By construction of (cf. Lemma 1 in [2]), we have

(x u; y u; ") = 0:

(2.5)

Since 1 is continuous, symmetric and has an innite support, by Theorem 2.1 in [4],
we have
xi ui > 0; yi ui > 0; i = 1; 2; :::; n + 1:
Using c"  ui , we obtain (2.3) for i = 1; 2; : : : ; n + 1: Now we show (2.3) for
i = n + 2: By the denition of and (2.5), we have the following equalities
0 = n+2(xn+2 un+2; yn+2 un+2; ")
Z (xn+2 yn+2)="
(xn+2 yn+2 ")2()d:
= xn+2 un+2
1

This implies that xn+2 un+2  0; since the integral part is nonnegative. To show
yn+2 un+2  0, we assume on the contrary that yn+2 < un+2. Then xn+2 yn+2 >
xn+2 un+2  0 and
un+2 =

xn+2

Z (xn+2

yn+2 )="

(xn+2 yn+2 ")2 ()d

Z0
= 1 (xn+2 yn+2 ")d
4 4
= xn+2 yn+2 + 2";

which implies

un+2 = 2" > 0:

This contradicts the assumption that yn+2 un+2 < 0: Hence we have
yn+2

xn+2

un+2  0; and yn+2

un+2  0:

Using c"  un+2, we obtain (2.3) for i = n + 2.

Now we show (2.4). Suppose that xi  yi. Then we have
xi

ui

max(xi yi; 0) = min(xi ui; yi ui) = xi ui:

From Lemma 2.2 and (2.5),

xi

ui = j i(xi

ui; yi

ui; ") (xi

ui)j  2":

8
By a simple manipulation, we obtain
(xi + c")(yi + c")
= (xi ui)(yi ui) + (xi + yi)(ui + c") u2i + c2"2
= (xi ui)(yi xi ) + (xi ui)2 + jxi + yij(ui + c") u2i + c2"2
 2(jxij + jyij)" + 4"2 + 2jxi + yijc" + c2"2
 2(1 + c)(jxi j + jyij)" + (4 + c2)"2;
where the rst inequality follows from
0  xi ui  2" and

c"  ui  c":

The proof is similar for the case xi  yi:

Now, we show that N is bounded. Using
c"  Hn+2 (z; ")  c";

we have
c"

 (Nx + p y)n+2
=

eT x +
c":

yn+2

This implies

+ c"  eT x + yn+2 
c":
Since xi and yi are bounded below by (2.3), x and y cannot go to 1, and so N is
bounded.

Theorem 2.1 Suppose that LCP(N; p) has a solution z . Then for every " > 0,
there is a z" 2 R2(n+2) such that
H 0 (z" ; ")T H (z"; ") = 0

and

kH (z"; ")k  2 2(n + 2)":

q

(2.6)
(2.7)

Proof: Let c be a constant satisfying c > 2 2(n + 2): We consider the following set:
D(") = fz j kH (z; ")k  c"g:
By Lemma 2.2, at the solution z , we have

kH (z; ")k  kH (z ; ") H0(z )k + kH0(z )k = 2":

Hence z 2 D(") and so D(") is nonempty.

9
By Lemma 2.3, D(") is bounded.
Let
1
(z ) = kH (z; ")k22 :
2
Since H (
; ") is continuously dierentiable and D(") is nonempty and bounded,  has
a global minimum point z" in D("). Moreover, we have

kH (z"; ")k 




kH (z"; ")k2
kqH (z; ")k2
2(n + 2)kH (z; ")k
q
2(n + 2)(kH0(z )k + 2")
q

= 2 2(n + 2)":
Hence, (2.7) holds. Moreover, this implies z" 2 int D("). By [13, 4.1.3], we have
0 (z" ) = H 0 (z" ; ")T H (z" ; ") = 0:

We complete the proof.

Theorem 2.1, together with Lemma 2.1, shows that if the LCP(M; q) has a solution, then there is a such that the LCP(N; p) has a solution and for every " > 0,
we can nd a stationary point z" of
1 kH (z ; ")k2
"
2
2
which satises
q
kH (z"; ")k  2 2(n + 2)":
Hence following a path dened by such stationary point as " ! 0, we can nd a
solution of the LCP(M; q).
By Lemma 2.1, if M is a P0 matrix, the rank of H 0(z"; ") is always greater than
2(n + 1) + 1. Moreover, H 0(z"; ") is nonsingular if and only if xn+2 yn+2 6= 2".
Hence, we can claim that H 0(z"; ") is nonsingular almost everywhere if M is a P0
matrix. From (2.6), if H 0(z"; ") is nonsingular then z" is a solution of
H (z; ") = 0:

(2.8)

It is notable that Assumption 1.1 does not guarantee the existence of a solution
of (2.8) for every " > 0. The following example shows that even if the P0 matrix
LCP(M; q) has a unique strictly complementarity solution, the central path can be
very short. Precisely, for any "0 > 0, changing an element in q can make that
the central path does not exist for all "  "0 even if the resulting P0 matrix LCP
has a unique strictly complementarity solution. Furthermore, if the solution set is
unbounded, the central path may not exist for all " > 0. On the other hand, the
Big-M smooth path may be \much longer" than the central path.

10

Example 2.1 Let

M = 00

1
1

q=

1
2

where  > 21 :

It is easy to verify that M is a P0 matrix and the LCP(M; q) has a unique solution
(t ; s) = (0; 12 ;  12 ; 0):
However for any 0 > 0 the complementarity level set
f(t; s) : tT s  0 + ( 21 ); s = Mt + q; (t; s) > 0g
contains the unbounded line
0 1
0 0
; ;
)
(k; 
k k
k 2
for all k > 0 =( 12 ):
The central path

f(t; s) : ti si = "; i = 1; 2p; s = Mt + q; (t; s) > 0g

= f(  " t ; t2); t2 = 1 + 14 + 16" < g
2

does not exist for "  ( 12 ):

If  = 21 , this problem has a unbounded solution set
f(x1 ; 12 ; 0; 0); x1  0g:
In this case the central path does not exist for all " > 0.
Now we show that if we choose  n + 5 = 7; then for all "  1, (2.8) has a
solution, i.e. the Big-M smooth path exists for "  1:
By Lemma 2.1 in [9] and Lemma 2.3, at the Big-M smooth path, (x; y)  0 and
x1 y1 = x1 (
x2 y2 = x2 (

x2 + (2  )x3 ) = "2

1 + x + 1 x ) = "2
2 2 2 3
x3 y3 = x23 = "2
y4 =
x x x x
Z (x4 1y4)=" 2 3 4
x4 =
(x4 y4 ")2()d:
1

We can calculate the point at the Big-M smooth path

x3 = y3 = "  1

11

1 " + (1 ")2 + 16"2

x2 =
1
4
x1 =
y1 = 

or

x4 =

"2

x2 + (2  )"

1
1
2

x2 + (2  )x3 ; y2 = x2 + x3
x1

x2

x3

1
2

2"  2"; y4 = 2"

x4 = 0; y4 =
x1 x2 x3  4";
where we use () = 0; for  62 [ 4; 0] to calculate x4 and y4 .

There are two Big-M smooth paths which are bounded and converge to two solutions
1
1 ;  1 ; 0; 0; 0)
z ;1 = (0; ; 0;
2
2
2
and
1 ; 0; 0;
1 );
1
z ;2 = (0; ; 0; 0; 
2
2
2
respectively, as " ! 0. Both of them contain the solution of the original LCP(M; q) :
(x1;1 ; x2;1 ; y1;1; y2;1) = (x1;2 ; x2;2; y1;2; y2;2) = (0; 12 ;  21 ; 0):

We cannot say that the solution of (2.8) is unique for every " > 0, since N is not
a P0-matrix, Nevertheless, we can say that the solution is locally unique. This result
is given by the following theorem.

Theorem 2.2 Suppose that M is a P0 matrix. Let z" be a solution of (2.8). Then

its 2(n + 1) components (z")i ; i = 1; 2; : : : ; n + 1; n + 3; : : : ; 2(n + 1) + 1, that is,

((x")i ; (y")i); i = 1; 2; : : : ; n + 1, are unique. Moreover the following results hold.
1. If H 0(z"; ") is singular, then z" is the unique solution of (2.8).
2. If H 0(z"; ") is nonsingular, then z" is the unique solution of (2.8) in a neighborhood of z".

Proof: 1. Let x~ = (x1 ; : : : ; xn+1); y~ = (y1; : : : ; yn+1); z~ = (~x; y~) and

~ z ; ") = ( 1(x1 ; y1; "); : : : ; n+1(xn+1 ; yn+1; "))T :
(~
Then z~ is a solution of

N~ x~ + p y~ :
~ (~z ; ")

(2.9)

Since N~ is a P0 matrix and ~ is given by 1 , by Theorem 2.3 in [4], z~" is the

unique solution of (2.9).

12
1.

Assume that (2.8) has two solutions z"1 and z"2 . Then (z"1 )i = (z"2 )i, i =
1; : : : ; n + 1; n + 3; : : : ; 2(n + 1) + 1: By the structure of the (n + 2)th component of
H , we obtain
x1n+2 x2n+2 = yn2 +2 yn1 +2 :
(2.10)
Hence if x1n+2 = x2n+2, then yn1+2 = yn2+2.
Without loss of generality, we assume on the contrary that x1n+2 > x2n+2 : Let
(w ) =

w
"

(w ")2()d:

Then from n+2(x1n+2 ; yn1+2; ") = n+2(x2n+2; yn2+2; ") = 0; we have

0 < x1n+2 x2n+2 = (x1n+2 yn1+2) (x2n+2 yn2+2)
= 0 ()(x1n+2 yn1+2 x2n+2 + yn2+2)
= 2 0()(x1n+2 x2n+2 );
where  2 (x1n+2 yn1+2; x2n+2 yn2+2), and the last equality follows from (2.10). This
implies that
Z
0 () = "  ()d = 1
2
2
1
which gives  = 2" and
x1n+2

yn1 +2 > 2" > x2n+2

yn2 +2 :

By Lemma 2.2, H 0(z"; ") is nonsingular. This is a contradiction.

2. Let
G(z ) = z H 0 (z" ; ") 1H (z; "):
Since H is continuously dierentiable, G is continuously dierentiable and
G 0 (z ) = I

H 0(z" ; ") 1 H 0 (z; "):

Moreover the spectral radius of G0 (z") is zero. By Ostrowski Theorem [13], we claim
that z" is the unique solution of (2.8) in a neighborhood of z":
Results 1 and 2 of Theorem 2.2 may be explained by square functions. f (x) =
2
x = 0 has a unique zero x = 0, which is multiple roots, and its derivative is singular
at x. f (x) = x2 1 has two zeros x;1 = 1 and x;2 = 1, which are unique in
( 1; 1) and ( 1; 1) respectively, and its derivative is nonsingular at x;1 and x;2 .

3 Algorithm and its convergence

In this section we propose an algorithm and prove its global convergence.

Algorithm 3.1 Given c  2,  2 (0; 1), and i 2 (0; 1) for i = 1; 2:

13

Step 0 (Initial Step )

Choose x0 ; y 0; "0 such that kH (z0 ; "0 )k  c"0 and H 0 (z0 ; "0 ) is nonsingular.

Step 1 (Newton Step)

If H (zk ; "k ) = 0, set z k+1 = zk and go to Step 3. Otherwise, Let
z k solve the
equation
H (z k ; "k ) + H 0 (z k ; "k )
z k = 0:
(3.1)

Step 2 (Line Search)

Let k be the maximum of the values 1; 1 ; 12 ; : : : such that

kH (zk + k
zk ; "k )k  (1 k )kH (zk ; "k )k:

(3.2)

Set z k+1 = z k + k
z k .

Step 3 (" Reduction)

Let k be the maximum of the values 22; 23 ; : : : such that

kH (zk+1; (1 k )"k )k  (1 k )c"k :

(3.3)

k +1
k
k +1
If xkn+1
= (1 k )"k . Otherwise, set "k+1 =
+2 yn+2 6= 2(1 k )" ; set "
(1 2 k )"k :

Algorithm 3.1 is similar to the smoothing method introduced by Burke and Xu

[1]. The main dierence from the Burke-Xu method is that the denition of "k+1 in
Step 3 ensures the nonsingularity of H 0(zk+1 ; "k+1) for the P0 matrix LCP(M; q).
It is easy to verify that if y0 = Nx0 + p, then yk = Nxk + p for all k  0.
The following lemma shows that we can easily nd a starting point (z0 ; "0) satisfying these conditions in the initial step of Algorithm 3.1.

Lemma 3.1 Suppose that M is a P0 matrix. Let x0 = (e; 1; 0); y0 = (e; 1;

and

1  "0  1:
c+1
Then y0 = Nx0 + p  0, kH (z0 ; "0)k  c"0 , and H 0(z 0 ; "0 ) is nonsingular.

(n +1))
(3.4)

Proof: Obviously y0 = Nx0 + p. Since  n + 5, y0  0. Thus Hi(z0 ; "0) = 0; i =

1; 2; : : : ; n + 2. By a simple calculation, we have
i

(x0 ; y0; "0)

i

1 + 0

and
n+2(x0n+2; yn0+2; "0) =

Z0

1 ()d = 1 "0 ; i = 1; 2; : : : ; n + 1;

Z ((n+1)
1

)="0

((n + 1)

"0 )2 ()d = 0;

14
where the last equality uses 2 () = 0 for   4 and (3.4).
Hence (z0 ; "0) satises kH (z0 ; "0)k  c"0:
Moreover, from  n + 5 and "0  1, we have
2"0 > 4  (n + 1)

= x0n+2 yn0+2:

Therefore H 0(z0 ; "0) is nonsingular by Lemma 2.2, since x0n+2 yn0+2 6= 2"0.

Theorem 3.1 If M is a
sequence fz k g satises

P0 matrix, then Algorithm 3.1 is well dened, and the

kH (zk ; "k )k  c"k :

Proof: We prove this theorem by induction.

For k = 0, by Lemma 3.1, z0 = (e; 1; 0; e; 1;

H 0 (z 0 ; "0 ) is nonsingular.

(3.5)
(n + 1)) satises (3.5) and

We suppose that zk satises (3.5) and H 0(zk ; "k ) is nonsingular. Then Step 1 is
well dened. If H (zk ; "k ) 6= 0, then
zk 6= 0: Hence
zk is a strictly decent direction
of kH (
; "k)k at zk , and so the line search procedure is nite by construction in Step
2.
Step 3 is well dened since if H (zk ; "k ) = 0 then zk+1 = zk and
kH (zk+1; "k )k = 0 < c"k :
Otherwise, by the construction of Step 2,
kH (zk+1; "k )k < kH (zk ; "k )k  c"k ;
which implies that there is a nite number k > 0 such that (3.3) holds.
By the construction of Step 3, H 0(zk+1 ; "k+1) is nonsingular.
Now we show that (3.5) holds at (zk+1 ; "k+1).
k +1
k
If xkn+1
+2 yn+2 6= 2(1 k )" ; then by construction of Step 3, (3.5) holds. Hence
we only need to consider the case
k +1
k
xkn+1
+2 yn+2 = 2(1 k )" ;
i.e.,
Notice that
and Step 3 provides that

"k+1 = (1 2 k )"k :
"k > (1 2 k )"k > (1 k )"k
c"k+1

 c(1 2 k )"k
 c(1 k )"k
 H (zk+1; (1 k )"k )
 c(1 k )"k :

(3.6)

15
By Result 3 of Proposition 1 in [2], for i = 1; 2; : : : ; n + 1, i(xki +1; yik+1;
) is strictly
decreasing with respect to ", which gives

 i(xki +1; yik+1; (1 k )"k )

c"k+1

> i (xki +1 ; yik+1; "k+1)

= i(xki +1; yik+1; (1 2 k )"k )
 i(xki +1; yik+1; (1 k )"k ) + (2
> c(1 k )"k (1 2 ) k "k
= c"k + c k "k k "k + 2 k "k
 c"k + 2(c 1) k "k + 2 k "k
> c"k + c2 k "k
= c"k+1;

1) k "k

where the third inequality follows from Result 4 of Proposition 1 in [2] (also see [8]),
and the fourth inequality follows from (3.6). Hence (3.5) holds for i = 1; 2; : : : ; n +1:
k +1
Let w = xkn+1
+2 yn+2 ; and
(") =

Then ! = 2(1 k )"k < 0 and

0 (") =

w
"

(w ")2()d:
w
"

2 ()d  0:

Hence  is monotonically increasing function. This implies that n+2 is monotonically decreasing and Lipschitz continuous with respect to the smooth parameter ".
Hence we obtain
c"k+1

k +1
 n+2(xkn+1
+2 ; yn+2 ; (1
k +1
 n+2(xkn+1
+2 ; yn+2 ; (1
k +1
 n+2(xkn+1
+2 ; yn+2 ; (1
 c(1 k )"k 2(1

=
=


=

k )"k )
2 k )"k )
k )"k ) 2(1 2 ) k "k
2 ) k "k
k
c" + (c 2(1 2 )) k "k
c"k + c2 k "k + (c 2)(1 2 ) k "k
c(1 2 k )"k
c"k+1 ;

where the third inequality follows from that n+2 is Lipschitz continuous with the
Lipschitz constant 2 and c  2. (See Lemma 2.2).
Therefore we have
c"k+1  Hi (z k+1 ; "k+1)  c"k+1 ; for i = n + 3; : : : ; 2(n + 2):

16
By the denition of H , the parameter " is not involved in the rst n+2 components
of H , i.e.,
Hi (z k+1 ; "k ) = Hi (z k+1 ; "k+1 ); for i = 1; 2; : : : n + 2:
Hence (3.5) holds.

Theorem 3.2 Suppose that M is a P0 matrix. Then Algorithm 3.1 is well dened.
Let f(zk ; "k )g be a sequence generated by Algorithm 3.1. Then fz k g is remained in the
bounded neighborhood N , and f"k g decreases monotonically in R++ . If furthermore
for an accumulation point (z ; ") of f(zk ; "k )g, we have xn+2 yn+2 =
6 2" or " = 0
then

k
lim
"
= 0 and
k !1

k k
lim
H
(
z
; " ) = 0;
k !1

(3.7)

and for all accumulation points fz^; "^g of fz k ; "k g.

"^ = 0 and H (^z ; "^) = H0 (^z ) = 0:

(3.8)

Proof: By Theorem 3.1 and Lemma 2.3, Algorithm 3.1 is well dened and fzk g is

remained in a bounded set. Furthermore, by construction of Algorithm 3.1,

0 < "k+1 = (1 k )"k < "k
or

0 < "k+1 = (1 2 k )"k < "k :

Hence f"k g is a monotonically decreasing sequence, and there is " such that
lim
"k = ":
!1

If " = 0, then from Theorem 3.1, we have (3.7). Moreover, since f"k g is a monotonically decreasing sequence, (3.5) and (3.7) imply (3.8).
Suppose on the contrary that " > 0: This implies k ! 0.
Since fzk g is remained in the bounded neighborhood N , taking a subsequence if
necessary, we may assume that the sequence fzk g converges to some z. Based on the
" reduction step, we have
kH (zk ; (1 1 )"k 1)k > (1 1 )c"k 1:
22

22

Since k ! 0, by passing limits on both sides, we have

kH (z; ")k  c" > 0:

(3.9)

Since xn+2 yn+2 6= 2", H 0(z ; ") is nonsingular by Lemma 2.2. Hence we can
nd a unique solution
z of the linear equations in Step 1. Furthermore, from (3.9)
it is a strictly decent direction for kH (
; ")k at z. As a result, the corresponding
linear search step length  and " reduction step length  are both bound below by

17
a positive constant. Notice that the function H and its Jacobian H 0 are continuous
in a neighborhood of (z; "). It follows that
zk converges to
z and therefore k
must be uniformly bounded below by some positive constant for all large k. This
contradicts to the assumption that k ! 0. Hence we must have "k ! 0, and so
(3.7) and (3.8) hold.
Let us denote

" = fz : kH (z; ")k  c"g:

By Lemma 2.3, the set
" is bounded for every " > 0.
Corollary 3.1 Suppose that the solution set S0 (M; q) of the P0 matrix LCP(M; q)
is nonempty and bounded. Then there exist a big and "0 such that the sequence
fzk g generated by Algorithm 3.1 converges to a solution of LCP(N; p).
Proof: First we show that

"k 
"k 1 ; for "k  "k 1:
Suppose that z 2
"k . Then
kH (z; "k 1)k  kH (z; "k 1) H (z; "k )k + kH (z; "k )k
 2("k 1 "k ) + c"k
= c"k 1 (c 2)("k 1 "k )

 c"k 1;

where we use c  2 and Lemma 2.2. Hence z 2

"k 1 : This, together with Theorem
3.1, implies that the sequence generated by Algorithm 3.1 remains in
"0 :
Let satisfy
> 4eT t;
for all (t; s) 2 S0(M; q):
Then from Lemma 2.1, the solution set of the LCP(N; p) is given by

0 = f(t; 0; eT t; s; 0; 0); (t; 0; 0; s; 0; eT t); (t; s) 2 S0(M; q)g:

Hence for a (t; s) 2 S0 (M; q), z;1 = (t; 0;
eT t ; s ; 0; 0) and z ;2 = (t; 0; 0,
s; 0;
eT t) are solutions of LCP(N; p) and
eT t + max
min(jx y x;1 y;1jn+2; jx y x;2 y;2jn+2)
z 2
0
= eT t + max
jeT (t t)j
z 2
0

 4 + 4 = 2:

By the continuity of H (z; ") on ", for such there exists "0 2 (0; min(1; 4 )) such
that kH (z0; "0)k  c"0 and for all z 2
"0 ,
 eT t + 2"0 + zmax
min(jx y x;1 + y;1jn+2; jx y x;2 + y;2jn+2):
2

"0

18
Let z 2
"0 . Without loss of generality we may assume jx y x;1 + y;1jn+2 
jx y x;2 + y;2jn+2. Then

jxn+2 yn+2j
1
1
1
1
 jxn;+2
yn;+2
j jxn+2 yn+2 xn;+2
+ yn;+2
j
T 

;1

;1
 e t zmax
min(jx y x + y jn+2; jx y x;2 + y;2jn+2)
2
"0
 2"0 > 2"k
for all k  1. Hence at any accumulation point (z ; ") generated by Algorithm 3.1,
xn+2 yn+2 =
6 2". By Theorem 3.2, we complete the proof.

The proof of Corollary 3.1 shows that if the solution set of the P0 matrix LCP(M; q)
is nonempty and bounded, then there exist and 0 such that for any z 2
", "  "0,
H 0 (z" ; ") is nonsingular. Hence from Theorem 2.2 and Corollary 3.1, two Big-M
smooth paths exist but they never cross each other, which converge to two solutions.
The proof of Corollary 3.1 also suggests us to increase and restart Algorithm
3.1 when xn+2 yn+2 = 2". For instance, we choose new starting point as
x^0i = xi ; i = 1; 2; : : : ; n + 1
y^i0 = yi; i = 1; 2; : : : ; n + 1
1 "
x^0n+2 = xn+2
2
3
y^n0 +2 = yn+2 + ";
2
^ = + "
"^0 = ":
Then at the new starting point, the new LCP(N; p^) with the new ^ satises
H^ i (^z 0 ; "^0 ) = Hi (z ; "); i = 1; 2; : : : ; 2(n + 1) + 1
and
1 " = x + " Z 2(2 + )d = H
z ; ");
H^ 2(n+2) (^z 0 ; "^0 ) = x^0n+2 = xn+2
2(n+2) (
n+2
2
4 4
where we use x^0n+2 y^n0+2  4^"0 and 2 () = 0 for   4: Hence we have
H^ (^z 0 ; "^0 ) = H (z ; ") and "^0 = ":
Furthermore, H^ 0(^z0 ; "^0) is nonsingular since
x^0n+2

y^n0 +2 = xn+2

yn+2

2" = 4" = 4^"0:

At the end of this paper, we consider the Big-M smooth path for Example 1.1,
which is a P0 matrix LCP but its solution set is unbounded.

19
In the Big-M smoothing model for Example 1.1, r = e Me q = 0. We choose
= n + 5 = 8: At the Big-M smooth path,
xi > 0; yi > 0 yi = (Nx + p)i ; xi yi = "2 ; i = 1; 2; 3; 4

and
x5 =

Z (x5

y5 )="

(x5 y5 ")2()d; y5 =

x1

x2

x3

x4

x5 :

We can calculate this point for " 2 (0; 1]:

4"2
1 + 8"2 + 1  1; x = p 4"2
x1 = p

1
;
x
=
 1;
3
2
4
1 + 8"2 + 1
1 + 8"2 + 1
x4 = "  1; and x5 = 0; or x5 =
x1 x2 x3 x4 2";
where we use 2 () = 0; for  62 [ 4; 0] to calculate x5 : Two Big-M smooth paths
never cross each other and converge to two solutions
1 ; 1 ; 0; 1 ; 0; 0);
1
z ;1 = (0; ; 0; 0;
2
2 2 2
and
1
1 1
1 );
z ;2 = (0; ; 0; 0; 0; ; 0; ; 0;
2
2 2
2
respectively, as " ! 0. Both of them contain a strictly complementarity solution of
the original LCP(M; q)
(t ; s) = (0; 21 ; 0; 21 ; 0; 21 ):

Acknowledgement

The authors are grateful to M.S.Gowda, C.Kanzow, D.Sun and P.Tseng for their
helpful comments.

References
[1] J. Burke and S. Xu, \The global linear convergence of a non-interior pathfollowing algorithm for linear complementarity problem", to appear in Math.
Oper. Res.
[2] B. Chen and X. Chen, \A global and local superlinear continuation-smoothing
method for P0 + R0 and monotone NCP," to appear in SIAM J. Optimization.
[3] C. Chen and O.L. Mangasarian, \Smoothing methods for convex inequalities
and linear complementarity problems", Math. Programming, 71 (1995), 51-69.

20
[4] X. Chen and Y. Ye, \On homotopy-smoothing methods for variational inequalities", AMR 96/39, Applied Mathematics Report, School of Mathematics, The
University of New South Wales, Sydney 2052, December, (1996).
[5] R.W. Cottle, J.-S. Pang and R.E. Stone, The Linear Complementarity Problem,
Computer Science and Scientic Computing, Academic Press Inc, San Diego,
CA92101, (1990).
[6] F. Facchinei, \Structural and stability properties of P0 nonlinear complementarity problems," DIS Working paper 12-97, Universita di Roma \La Sapienza",
Roma, Italy, 1997.
[7] F. Facchinei and C. Kanzow, \Beyond monotonicity in regularization methods for nonlinear complementarity problems", Dipartmento di Informatica e
Sistemistica, Universita di Roma, Roma, Italy, (1997).
[8] S.A. Gabriel and J.J. More, \Smoothing of mixed complementarity problems",
in: M.C. Ferris and J.S. Pang, eds., Complementarity and Variational Problems: State of the Art, SIAM, Philadelphia, Pennsylvania, (1996), 105-116.
[9] C. Kanzow, \Some noninterior continuation methods for linear complementarity problems", SIAM J. Matrix Anal. Appl. 17, (1996), 851-868.
[10] M. Kojima, N. Megiddo, and T. Noma, \Homotopy continuation methods for
nonlinear complementarity problems", Math. Oper. Res., 16 (1991), 754-774.
[11] M. Kojima, N. Megiddo, T. Noma, and A. Yoshise, A unied approach to interior point algorithms for linear complementarity problems, LNCS 538, SpringerVerlag, (1991).
[12] M. Kojima, S. Mizuno, and A. Yoshise, \A little theorem of the big M in
interior point algorithms", Math. Programming 59 (1993), 361{375.
[13] J.M. Ortega and W.C. Rheinboldt, Iterative Solution of Nonlinear Equations
in Several Variables, Academic Press, New York, 1970.
[14] H.-D. Qi, \A regularized smoothing Newton method for box constrained variational inequality problems with P0 -function", Research Report, Institute of
Computational Mathematics and Scientic/Engineering Computing, Chinese
Academy of Sciences, P.O. Box 2719, Beijing, China, August, 1997.
[15] G. Ravindran and M.S. Gowda, \Regularization of P0-function in box variational inequality problems", Research Report, Department of Mathematics and
Statistics, University of Maryland Baltimore County, Baltimore, MD 21250,
August, 1997.

21
[16] D. Sun, \A regularized Newton method for solving nonlinear complementarity
problems", Applied Mathematics Report, School of Mathematics, The University of New South Wales, Sydney, July 1997.
[17] Y. Ye, \On homogeneous and self-dual algorithms for LCP" Math. Programming 76 (1997) 211-222.