Convergence Analysis of an Infeasible Interior Point Algorithm Based on a Regularized Central Path for Linear Complementarity Problems

نویسندگان

  • Guanglu Zhou
  • Kim-Chuan Toh
  • Gongyun Zhao
چکیده

Most existing interior-point methods for a linear complementarity problem (LCP) require the existence of a strictly feasible point to guarantee that the iterates are bounded. Based on a regularized central path, we present an infeasible interior-point algorithm for LCPs without requiring the strict feasibility condition. The iterates generated by the algorithm are bounded when the problem is a P∗ LCP and has a solution. Moreover, when the problem is a monotone LCP and has a solution, we prove that the convergence rate is globally linear and it achieves ǫ-feasibility and ǫcomplementarity in at most O(n ln(1/ǫ)) iterations with a properly chosen starting point.

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عنوان ژورنال:
  • Comp. Opt. and Appl.

دوره 27  شماره 

صفحات  -

تاریخ انتشار 2004