Two-level Algorithm for Linear Complementarity Problem

In many applications, the variational inequality from the previous section reduces to a linear complementarity problem with a large and sparse matrix. Since one has to solve this problem in each iteration step of the BT code, it is very important to have an efficient method for solving it. In Kocvara-Zowe (1994) we proposed and implemented an iterative algorithm for solving the above linear complementarity problems; each step of the algorithm combines an application of the successive overrelaxation method with projection (to determine an approximation of the optimal active set) with the preconditioned conjugate gradient method (to solve the reduced residual systems of linear equations). Convergence of the iterates to the solution was proved. In the experimental part we compared the efficiency of the algorithm with several other methods. As test example we considered the obstacle problem with different obstacles. For problems of dimension up to 24000 variables, the algorithm finds the solution in less then 7 iterations, where each iteration requires about 10 matrix-vector multiplications; this is considerably better than other results reported in literature. 
Michal Kocvara
March 1, 2001