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A quadratically convergent\(O((\kappa + 1)\sqrt n L)\)-iteration algorithm for theP *(κ)-matrix linear complementarity problem

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Abstract

An interior-point predictor-corrector algorithm for theP *(κ)-matrix linear complementarity problem is proposed. The algorithm is an extension of Mizuno—Todd—Ye's predictor—corrector algorithm for linear programming problem. The extended algorithm is quadratically convergent with iteration complexity\(O((\kappa + 1)\sqrt n L)\). It is the first polynomially and quadratically convergent algorithm for a class of LCPs that are not necessarily monotone.

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  1. RUTCOR — Rutgers Center for Operations Research, Rutgers University, P.O. Box 5062, 08903-5062, New Brunswick, NJ, United States

    Jianming Miao

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  1. Jianming Miao
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Miao, J. A quadratically convergent\(O((\kappa + 1)\sqrt n L)\)-iteration algorithm for theP *(κ)-matrix linear complementarity problem. Mathematical Programming 69, 355–368 (1995). https://doi.org/10.1007/BF01585565

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  • DOI: https://doi.org/10.1007/BF01585565

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