Can't change magento 2 orders to complete

Order have total 3 states.

1) Pending

2) Processing

3) Complete

When customer place any order by default its status is Pending.

When you Ship that order its status is Processing

When you generate INVOICE of that order its status is automatically complete.

After that you can see COMPLETE in order admin grid . also when you click on that you will see status in dropdown as complete

You don't need to do it manually.

If you complete all the steps like shippment(processing), invoice(complete) then its automatically shows status as complete.