Lemke's algorithm

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

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

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• 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. Archived from the original on 2010-04-01. (Available for download at the website of Professor Katta G. Murty.) MR 0949214

• OMatrix manual on Lemke

• Chris Hecker's GDC presentation on MLCPs and Lemke

• Linear Complementarity and Mathematical (Non-linear) Programming

• Siconos/Numerics open-source GPL implementation in C of Lemke's algorithm and other methods to solve LCPs and MLCPs

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