The largest step path following algorithm for monotone linear complementarity problems

Data:	1997
Resum:	Path-following algorithms take at each iteration a Newton step for approaching a point on the central path, in such a way that all the iterates remain in a given neighborhood of that path. This paper studies the case in which each iteration uses a pure Newton step with the largest possible reduction in complementarity measure (duality gap). This algorithm is known to converge superlinearly in objective values. We show that with the addition of a computationally trivial safeguard it achieves Q-quadratic convergence, and show that this behaviour cannot be proved by usual techniques for the original method. .
Drets:	Tots els drets reservats.
Llengua:	Anglès
Document:	Article ; recerca ; Versió publicada
Matèria:	Linear complementarity problem ; Primal-dual interior-point algorithm ; Convergence of algorithms
Publicat a:	Mathematical Programming, vol. 76 n. 2 (1997) p. 309-332, ISSN 0025-5610

24 p, 1.0 MB

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