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A Full-Newton Step Interior-Point Method for Monotone Weighted Linear Complementarity Problems
Journal of Optimization Theory and Applications ( IF 1.6 ) Pub Date : 2020-08-06 , DOI: 10.1007/s10957-020-01728-4
Soodabeh Asadi , Zsolt Darvay , Goran Lesaja , Nezam Mahdavi-Amiri , Florian Potra

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.

中文翻译:

单调加权线性互补问题的全牛顿步内点法

本文设计并分析了一种求解单调加权线性互补问题的全牛顿步内点法。这个问题最近被引入,作为线性互补问题的泛化和修正的互补方程,其中右侧的零被非负权重向量替换。对于零权重向量,问题简化为线性互补问题。加权线性互补问题的重要性在于它可以用于对科学、工程和经济学中的一大类问题进行建模。由于该算法仅采用全牛顿步,因此避免了步长的计算。在合适的条件下,该算法对中心路径上的目标点具有二次收敛速度。
更新日期:2020-08-06
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