Fast convergence of the simplified largest step path following algorithm
Gonzaga, Clovis C.
Bonnans, J. Frédéric

Data: 1997
Resum: Each master iteration of a simplified Newton algorithm for solving a system of equations starts by computing the Jacobian matrix and then uses this matrix in the computation of p Newton steps: the first of these steps is exact, and the other are called "simplified". In this paper we apply this approach to a large step path following algorithm for monotone linear complementarity problems. The resulting method generates sequences of objective values (duality gaps) that converge to zero with Q-order p + 1 in the number of master iterations, and with a complexity of O(V~nL) iterations.
Drets: Tots els drets reservats.
Llengua: Anglès
Document: Article ; recerca ; Versió publicada
Matèria: Linear complementarity problem ; Primal-dual interior-point algorithm ; Convergence of algorithms ; Simplified Newton method
Publicat a: Mathematical Programming, vol. 76 n. 1 (1997) p. 95-115, ISSN 0025-5610

21 p, 919.0 KB
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