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A Full-Newton Step Interior-Point Method for Monotone Weighted Linear Complementarity Problems

Author

Listed:
  • Soodabeh Asadi

    (Sharif University of Technology
    University of Applied Sciences and Arts Northwestern Switzerland)

  • Zsolt Darvay

    (Babeş-Bolyai University)

  • Goran Lesaja

    (US Naval Academy
    Georgia Southern University)

  • Nezam Mahdavi-Amiri

    (Sharif University of Technology)

  • Florian Potra

    (University of Maryland)

Abstract

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.

Suggested Citation

  • Soodabeh Asadi & Zsolt Darvay & Goran Lesaja & Nezam Mahdavi-Amiri & Florian Potra, 2020. "A Full-Newton Step Interior-Point Method for Monotone Weighted Linear Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 186(3), pages 864-878, September.
    • Handle: RePEc:spr:joptap:v:186:y:2020:i:3:d:10.1007_s10957-020-01728-4
    DOI: 10.1007/s10957-020-01728-4
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    References listed on IDEAS

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    1. Shinji Mizuno & Michael J. Todd & Yinyu Ye, 1993. "On Adaptive-Step Primal-Dual Interior-Point Algorithms for Linear Programming," Mathematics of Operations Research, INFORMS, vol. 18(4), pages 964-981, November.
    2. Filiz Gurtuna & Cosmin Petra & Florian Potra & Olena Shevchenko & Adrian Vancea, 2011. "Corrector-predictor methods for sufficient linear complementarity problems," Computational Optimization and Applications, Springer, vol. 48(3), pages 453-485, April.
    3. Florian A. Potra, 2016. "Sufficient weighted complementarity problems," Computational Optimization and Applications, Springer, vol. 64(2), pages 467-488, June.
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    Cited by:

    1. Jingyong Tang & Hongchao Zhang, 2021. "A Nonmonotone Smoothing Newton Algorithm for Weighted Complementarity Problem," Journal of Optimization Theory and Applications, Springer, vol. 189(3), pages 679-715, June.
    2. Xiaoni Chi & Guoqiang Wang & Goran Lesaja, 2024. "Kernel-Based Full-Newton Step Feasible Interior-Point Algorithm for $$P_{*}(\kappa )$$ P ∗ ( κ ) -Weighted Linear Complementarity Problem," Journal of Optimization Theory and Applications, Springer, vol. 202(1), pages 108-132, July.
    3. Jingyong Tang & Jinchuan Zhou, 2021. "Quadratic convergence analysis of a nonmonotone Levenberg–Marquardt type method for the weighted nonlinear complementarity problem," Computational Optimization and Applications, Springer, vol. 80(1), pages 213-244, September.
    4. Jingyong Tang & Jinchuan Zhou & Hongchao Zhang, 2023. "An Accelerated Smoothing Newton Method with Cubic Convergence for Weighted Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 196(2), pages 641-665, February.
    5. Jingyong Tang & Jinchuan Zhou & Zhongfeng Sun, 2023. "A derivative-free line search technique for Broyden-like method with applications to NCP, wLCP and SI," Annals of Operations Research, Springer, vol. 321(1), pages 541-564, February.
    6. Xiaoni Chi & Guoqiang Wang, 2021. "A Full-Newton Step Infeasible Interior-Point Method for the Special Weighted Linear Complementarity Problem," Journal of Optimization Theory and Applications, Springer, vol. 190(1), pages 108-129, July.

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