A regularized projection method for complementarity problems with non-Lipschitzian functions
Goetz Alefeld, Xiaojun Chen · Mathematics of Computation · 2007
We consider complementarity problems involving functions which are not Lipschitz continuous at the origin. Such problems arise from the numerical solution for differential equations with non-Lipschitzian continuity, e.g. reaction and diffusion problems. We propose a regularized projection method to find an approximate solution with an estimation of the error for the non-Lipschitzian complementarity problems. We prove that the projection method globally and linearly converges to a solution of a regularized problem with any regularization parameter. Moreover, we give error bounds for a computed solution of the non-Lipschitzian problem. Numerical examples are presented to demonstrate the efficiency of the method and error bounds.