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A full-newton step interior-point method for monotone weighted linear complementarity problems

Asadi, S ; Sharif University of Technology | 2020

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  1. Type of Document: Article
  2. DOI: 10.1007/s10957-020-01728-4
  3. Publisher: Springer , 2020
  4. Abstract:
  5. In this paper, a full-Newton step Interior-Point Method for solving monotone Weighted Linear Complementarity Problem is designed and analyzed. This problem has been introduced recently as a generalization of the Linear Complementarity Problem with modified complementarity equation, where zero on the right-hand side is replaced with the nonnegative weight vector. With a zero weight vector, the problem reduces to a linear complementarity problem. The importance of Weighted Linear Complementarity Problem lies in the fact that it can be used for modelling a large class of problems from science, engineering and economics. Because the algorithm takes only full-Newton steps, the calculation of the step size is avoided. Under a suitable condition, the algorithm has a quadratic rate of convergence to the target point on the central path. The iteration bound for the algorithm coincides with the best iteration bound obtained for these types of problems. © 2020, Springer Science+Business Media, LLC, part of Springer Nature
  6. Keywords:
  7. Full-Newton step ; Interior-point ; Path-following ; Weighted complementarity
  8. Source: Journal of Optimization Theory and Applications ; Volume 186, Issue 3 , 2020 , Pages 864-878
  9. URL: https://link.springer.com/article/10.1007/s10957-020-01728-4