A generalized proximal point algorithmfor the nonlinear complementarity problem

Abstract

We consider a generalized proximal point method (GPPA) forsolving the nonlinear complementarity problem with monotone operators inRⁿ . It differs from the classical proximal point method discussedby Rockafellar for the problem of finding zeroes of monotone operatorsin the use of generalized distances, called φ-divergences,instead of the Euclidean one. These distances play not only aregularization role but also a penalization one, forcing the sequencegenerated by the method to remain in the interior of the feasible set,so that the method behaves like an interior point one. Under appropriateassumptions on the φ-divergence and the monotone operator weprove that the sequence converges if and only if the problem hassolutions, in which case the limit is a solution. If the problem doesnot have solutions, then the sequence is unbounded. We extend previousresults for the proximal point method concerning convex optimizationproblems.