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A full-Newton step feasible interior-point algorithm for $$P_*(\kappa )$$ P ∗ ( κ ) -linear complementarity problems

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  • G. Wang
  • C. Yu
  • K. Teo

Abstract

In this paper, a full-Newton step feasible interior-point algorithm is proposed for solving $$P_*(\kappa )$$ P ∗ ( κ ) -linear complementarity problems. We prove that the full-Newton step to the central path is local quadratically convergent and the proposed algorithm has polynomial iteration complexity, namely, $$O\left( (1+4\kappa )\sqrt{n}\log {\frac{n}{\varepsilon }}\right) $$ O ( 1 + 4 κ ) n log n ε , which matches the currently best known iteration bound for $$P_*(\kappa )$$ P ∗ ( κ ) -linear complementarity problems. Some preliminary numerical results are provided to demonstrate the computational performance of the proposed algorithm. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • G. Wang & C. Yu & K. Teo, 2014. "A full-Newton step feasible interior-point algorithm for $$P_*(\kappa )$$ P ∗ ( κ ) -linear complementarity problems," Journal of Global Optimization, Springer, vol. 59(1), pages 81-99, May.
    • Handle: RePEc:spr:jglopt:v:59:y:2014:i:1:p:81-99
    DOI: 10.1007/s10898-013-0090-x
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    References listed on IDEAS

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    1. Filiz Gurtuna & Cosmin Petra & Florian Potra & Olena Shevchenko & Adrian Vancea, 2011. "Corrector-predictor methods for sufficient linear complementarity problems," Computational Optimization and Applications, Springer, vol. 48(3), pages 453-485, April.
    2. Illes, Tibor & Nagy, Marianna, 2007. "A Mizuno-Todd-Ye type predictor-corrector algorithm for sufficient linear complementarity problems," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1097-1111, September.
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