Preprint A762/2015
On the Numerical Solution of the Quadratic Eigenvalue Complementarity Problem
Alfredo Noel Iusem | Joaquim J. J├║dice | Valentina Sessa | Hanif D. Sherali
Keywords: eigenvalue problem | complementarity problem | nonlinear programming | global optimization

The Quadratic Eigenvalue Complementarity Problem (QEiCP) is an extension of the Eigenvalue Complementarity Problem (EiCP) that has been introduced recently. Similar to the EiCP, the QEiCP always has a solution under reasonable hypotheses on the matrices included in its definition. This has been established in a previous paper by reducing a QEiCP of dimension n to a special 2n-order EiCP. In this paper we propose an enumerative algorithm for solving the QEiCP by exploiting this equivalence with an EiCP. The algorithm seeks a global minimum of a special Nonlinear Programming Problem (NLP) with a known global optimal value. The algorithm is shown to perform very well in practice but in some cases terminates with only an approximate optimal solution to NLP. Hence, we propose a hybrid method that combines the enumerative method with a fast and local semi-smooth method to overcome the latter drawback. This algorithm is also shown to be useful for computing a positive eigenvalue for an EiCP under similar assumptions. Computational experience is reported to demonstrate the efficacy and efficiency of the hybrid enumerative method for solving the QEiCP