Stability of Linear Equations Solvers in Interior-Point Methods

Primal-dual interior-point methods for linear complementarity and linear programming problems solve a linear system of equations to obtain a modiied Newton step at each iteration. These linear systems become increasingly ill-conditioned in the later stages of the algorithm, but the computed steps are often suuciently accurate to be useful. We use error analysis techniques tailored to the special structure of these linear systems to explain this observation and examine how theoretically superlinear convergence of a path-following algorithm is aaected by the roundoo errors.