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Asymptotic Behavior of Helmberg-Kojima-Monteiro (HKM) Paths in Interior-Point Methods for Monotone Semidefinite Linear Complementarity Problems: General Theory

Author

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  • C. K. Sim

    (National University of Singapore Business School)

  • G. Zhao

    (National University of Singapore)

Abstract

An interior-point method (IPM) defines a search direction at each interior point of the feasible region. These search directions form a direction field, which in turn gives rise to a system of ordinary differential equations (ODEs). Thus, it is natural to define the underlying paths of the IPM as the solutions of the system of ODEs. In Sim and Zhao (Math. Program. Ser. A, [2007], to appear), these off-central paths are shown to be well-defined analytic curves and any of their accumulation points is a solution to the given monotone semidefinite linear complementarity problem (SDLCP). Off-central paths for a simple example are also studied in Sim and Zhao (Math. Program. Ser. A, [2007], to appear) and their asymptotic behavior near the solution of the example is analyzed. In this paper, which is an extension of Sim and Zhao (Math. Program. Ser. A, [2007], to appear), we study the asymptotic behavior of the off-central paths for general SDLCPs using the dual HKM direction. We give a necessary and sufficient condition for when an off-central path is analytic as a function of $\sqrt{\mu}$ at a solution of the SDLCP. Then, we show that, if the given SDLCP has a unique solution, the first derivative of its off-central path, as a function of $\sqrt{\mu}$ , is bounded. We work under the assumption that the given SDLCP satisfies the strict complementarity condition.

Suggested Citation

  • C. K. Sim & G. Zhao, 2008. "Asymptotic Behavior of Helmberg-Kojima-Monteiro (HKM) Paths in Interior-Point Methods for Monotone Semidefinite Linear Complementarity Problems: General Theory," Journal of Optimization Theory and Applications, Springer, vol. 137(1), pages 11-25, April.
    • Handle: RePEc:spr:joptap:v:137:y:2008:i:1:d:10.1007_s10957-007-9280-3
    DOI: 10.1007/s10957-007-9280-3
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    References listed on IDEAS

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    1. Jos F. Sturm, 1999. "Superlinear Convergence of an Algorithm for Monotone Linear Complementarity Problems, When No Strictly Complementary Solution Exists," Mathematics of Operations Research, INFORMS, vol. 24(1), pages 72-94, February.
    2. Sanjay Mehrotra, 1993. "Quadratic Convergence in a Primal-Dual Method," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 741-751, August.
    3. Halická, M. & de Klerk, E. & Roos, C., 2002. "On the convergence of the central path in semidefinite optimization," Other publications TiSEM 9ca12b89-1208-46aa-8d70-4, Tilburg University, School of Economics and Management.
    4. Josef Stoer & Martin Wechs & Shinji Mizuno, 1998. "High Order Infeasible-Interior-Point Methods for Solving Sufficient Linear Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 23(4), pages 832-862, November.
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    Cited by:

    1. Chee-Khian Sim, 2011. "Asymptotic Behavior of Underlying NT Paths in Interior Point Methods for Monotone Semidefinite Linear Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 148(1), pages 79-106, January.
    2. Chee-Khian Sim, 2019. "Interior point method on semi-definite linear complementarity problems using the Nesterov–Todd (NT) search direction: polynomial complexity and local convergence," Computational Optimization and Applications, Springer, vol. 74(2), pages 583-621, November.
    3. C. K. Sim, 2009. "On the Analyticity of Underlying HKM Paths for Monotone Semidefinite Linear Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 141(1), pages 193-215, April.

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