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Superlinearly Convergent Infeasible-Interior-Point Algorithm for Degenerate LCP

Author

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  • F. A. Potra

    (University of Iowa)

  • R. Sheng

    (University of Iowa)

Abstract

A large-step infeasible path-following method is proposed for solving general linear complementarity problems with sufficient matrices. If the problem has a solution, the algorithm is superlinearly convergent from any positive starting points, even for degenerate problems. The algorithm generates points in a large neighborhood of the central path. Each iteration requires only one matrix factorization and at most three (asymptotically only two) backsolves. It has been recently proved that any sufficient matrix is a P *(κ)-matrix for some κ≥0. The computational complexity of the algorithm depends on κ as well as on a feasibility measure of the starting point. If the starting point is feasible or close to being feasible, then the iteration complexity is $$O((1 + {\kappa)}\sqrt {nL})$$ . Otherwise, for arbitrary positive and large enough starting points, the iteration complexity is O((1 + κ)2 nL). We note that, while computational complexity depends on κ, the algorithm itself does not.

Suggested Citation

  • F. A. Potra & R. Sheng, 1998. "Superlinearly Convergent Infeasible-Interior-Point Algorithm for Degenerate LCP," Journal of Optimization Theory and Applications, Springer, vol. 97(2), pages 249-269, May.
    • Handle: RePEc:spr:joptap:v:97:y:1998:i:2:d:10.1023_a:1022670415661
    DOI: 10.1023/A:1022670415661
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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. Shinji Mizuno, 1996. "A Superlinearly Convergent Infeasible-Interior-Point Algorithm for Geometrical LCPs Without a Strictly Complementary Condition," Mathematics of Operations Research, INFORMS, vol. 21(2), pages 382-400, May.
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    Cited by:

    1. Ximei Yang & Hongwei Liu & Yinkui Zhang, 2015. "A New Strategy in the Complexity Analysis of an Infeasible-Interior-Point Method for Symmetric Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 166(2), pages 572-587, August.
    2. Illes, Tibor & Nagy, Marianna, 2007. "A Mizuno-Todd-Ye type predictor-corrector algorithm for sufficient linear complementarity problems," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1097-1111, September.
    3. Y. B. Zhao & G. Isac, 2000. "Quasi-P*-Maps, P(τ, α, β)-Maps, Exceptional Family of Elements, and Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 105(1), pages 213-231, April.
    4. Sungwoo Park & Dianne P. O’Leary, 2015. "A Polynomial Time Constraint-Reduced Algorithm for Semidefinite Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 166(2), pages 558-571, August.
    5. 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.
    6. Baha Alzalg & Khaled Badarneh & Ayat Ababneh, 2019. "An Infeasible Interior-Point Algorithm for Stochastic Second-Order Cone Optimization," Journal of Optimization Theory and Applications, Springer, vol. 181(1), pages 324-346, April.
    7. 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.
    8. Hongwei Liu & Ximei Yang & Changhe Liu, 2013. "A New Wide Neighborhood Primal–Dual Infeasible-Interior-Point Method for Symmetric Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 158(3), pages 796-815, September.

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