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| Home > Articles > Published articles > The largest step path following algorithm for monotone linear complementarity problems |
| Date: | 1997 |
| Abstract: | 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. . |
| Rights: | Tots els drets reservats.  |
| Language: | Anglès |
| Document: | Article ; recerca ; Versió publicada |
| Subject: | Linear complementarity problem ; Primal-dual interior-point algorithm ; Convergence of algorithms |
| Published in: | Mathematical Programming, vol. 76 n. 2 (1997) p. 309-332, ISSN 0025-5610 |
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