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Power iteration and inverse power iteration for eigenvalue complementarity problem
Author(s) -
Abdi Fatemeh,
Shakeri Fatemeh
Publication year - 2019
Publication title -
numerical linear algebra with applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.02
H-Index - 53
eISSN - 1099-1506
pISSN - 1070-5325
DOI - 10.1002/nla.2244
Subject(s) - mathematics , complementarity theory , mixed complementarity problem , power iteration , mathematical optimization , iterated function , monotone polygon , inverse iteration , eigenvalues and eigenvectors , sequential quadratic programming , regularization (linguistics) , convex optimization , quadratic programming , regular polygon , iterative method , mathematical analysis , computer science , nonlinear system , geometry , physics , quantum mechanics , artificial intelligence
Summary In this paper, an inverse complementarity power iteration method (ICPIM) for solving eigenvalue complementarity problems (EiCPs) is proposed. Previously, the complementarity power iteration method (CPIM) for solving EiCPs was designed based on the projection onto the convex cone K . In the new algorithm, a strongly monotone linear complementarity problem over the convex cone K is needed to be solved at each iteration. It is shown that, for the symmetric EiCPs, the CPIM can be interpreted as the well‐known conditional gradient method, which requires only linear optimization steps over a well‐suited domain. Moreover, the ICPIM is closely related to the successive quadratic programming (SQP) via renormalization of iterates. The global convergence of these two algorithms is established by defining two nonnegative merit functions with zero global minimum on the solution set of the symmetric EiCP. Finally, some numerical simulations are included to evaluate the efficiency of the proposed algorithms.