A trust region method for solving generalized complementarity problems

Based on a semismooth equation reformulation using Fischers function, a trust region algorithm is proposed for solving the generalized complementarity problem (GCP). The algorithm uses a generalized Jacobian of the function involved in the semismooth equation and adopts the squared natural residual of the semismooth equation as a merit function. The proposed algorithm is applicable to the nonlinear complementarity problem because the latter problem is a special case of the GCP. Global convergence and, under a nonsingularity assumption, local Q-superlinear (or quadratic) convergence of the algorithm are established. Moreover, calculation of a generalized Jacobian is discussed and numerical results are presented.