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Lemke's algorithm

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In mathematical optimization, Lemke's algorithm is a procedure for solving linear complementarity problems, and more generally mixed linear complementarity problems.

Lemke's algorithm is of pivoting or basis-exchange type. Similar algorithms can compute Nash equilibria for two-person matrix and bimatrix games.

References

  • Cottle, Richard W.; Pang, Jong-Shi; Stone, Richard E. (1992). The linear complementarity problem. Computer Science and Scientific Computing. Boston, MA: Academic Press, Inc. pp. xxiv+762 pp. ISBN 0-12-192350-9. MR1150683
  • Murty, K. G. (1988). Linear complementarity, linear and nonlinear programming. Sigma Series in Applied Mathematics. Vol. 3. Berlin: Heldermann Verlag. pp. xlviii+629 pp. ISBN 3-88538-403-5. (Available for download at the website of Professor Katta G. Murty.) MR949214
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