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 gamess.

References

• (Available for download at the website of Professor Katta G. Murty.)

External links

• 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