A predictor-corrector interior-point algorithm for P∗(κ)-horizontal linear complementarity problem

We present a predictor-corrector path-following interior-point algorithm for P ∗ ( κ ) horizontal linear complementarity problem based on new search directions. In each iteration, the algorithm performs two kinds of steps: a predictor (damped Newton) step and a corrector (full Newton) step. The full...

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Bibliographic Details
Published inNumerical algorithms Vol. 66; no. 2; pp. 349 - 361
Main Author Kheirfam, Behrouz
Format Journal Article
LanguageEnglish
Published Boston Springer US 01.06.2014
Springer Nature B.V
Subjects
Algebra
Algorithms
Computer Science
Numeric Computing
Numerical Analysis
Original Paper
Predictor-corrector methods
Theory of Computation
Polynomial complexity
90C51
Horizontal linear complementarity problem
90C33
Predictor-corrector algorithm
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ISSN1017-1398
1572-9265
DOI10.1007/s11075-013-9738-3

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Summary:We present a predictor-corrector path-following interior-point algorithm for P ∗ ( κ ) horizontal linear complementarity problem based on new search directions. In each iteration, the algorithm performs two kinds of steps: a predictor (damped Newton) step and a corrector (full Newton) step. The full Newton-step is generated from an algebraic reformulation of the centering equation, which defines the central path and seeks directions in a small neighborhood of the central path. While the damped Newton step is used to move in the direction of optimal solution and reduce the duality gap. We derive the complexity for the algorithm, which coincides with the best known iteration bound for P ∗ ( κ ) -horizontal linear complementarity problems.
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ISSN:1017-1398
1572-9265
DOI:10.1007/s11075-013-9738-3