A path-following interior-point algorithm for linear and quadratic problems
We describe an algorithm for the monotone linear complementarity problem that converges for many positive, not necessarily feasible, starting point and exhibits polynomial complexity if some additional assumptions are made on the starting point. If the problem has a strictly complementary solution, the method converges subquadratically. We show that the algorithm and its convergence extend readily to the mixed monotone linear complementarity problem and, hence, to all the usual formulations of the linear programming and convex quadratic programming problems.
- Research Organization:
- Argonne National Lab., IL (United States)
- Sponsoring Organization:
- USDOE Office of Energy Research, Washington, DC (United States)
- DOE Contract Number:
- W-31109-ENG-38
- OSTI ID:
- 432434
- Report Number(s):
- MCS-P--401-1293; ON: DE97001014
- Country of Publication:
- United States
- Language:
- English
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