LEMKE
Solver for Linear Complementarity Problems

LEMKE is a MATLAB library which implements Lemke's algorithm for solving linear complementarity problems, by Paul Fackler and Mario Miranda.

The form of this problem is as follows: Given an NxN matrix M, and an N vector Q, find an N vector Z so that

1. 0 <= Z;
2. 0 <= M * Z + Q;
3. 0 = Z' * ( M * Z + Q );

Reference:

1. Richard Cottle, Jong-Shi Pang, Richard Stone,
   The Linear Complementarity Problem,
   Academic Press, 1992,
   ISBN13: 978-0121923501,
   LC: QA402.5.C68.
2. Roger Fletcher,
   Practical Methods of Optimization,
   Wiley, 1987,
   ISBN13: 978-0471494638,
   LC: QA402.5.F43.

Source Code:

• lemke.m, an implementation of Lemke's algorithm.

Examples and Tests:

• lemke_prb.m, a test of Lemke's method.
• lemke_prb_output.txt, the output file.

You can go up one level to the MATLAB source codes.