In this article we present an iterative two-step algorithm for the numerical solution of linear complementarity problems (LCP). The algorithm presented combine the active set strategy with the square conjugated gradient method for the linear system solution. This iterative two-step algorithm was based in a similar one developed by Kocvara & Zowe (1994), that combine the symmetric successive over relaxation with projection method and the precondicioned conjugated gradient method. In the Numerical Experience section, we have tested the method for solve some LCP with non-singular matrices. Such matrices belong to semi positive definite matrix class, P-matrix class and P0-matrix class. Furthermore we show a comparision between our method and the one developed by Pardalos, Ye, Han & Kaliski (1993).
linear complementarity problems; actives sets methods; potential reduction
