Active Set Method for Solving Real Symmetric Complementary Eigenvalue Problem

Abstract:

Based on the sequential quadratic programming algorithm， a class of active set methods for solving real symmetric complementary eigenvalue problems is constructed in this paper. By designing a special strategy with the active set index selection， the iterative sequence generated by the active set method has the characteristics of monotonous decline， and the convergence of the method is theoretically proved. The numerical experimental results show that the method is effective and superior to built-in algorithm of MATLAB in complementarity and iteration time.

Key words:complementary eigenvalue problem;nonnegative cone;sequential quadratic programming;active set