Article ID: | iaor19971549 |
Country: | Netherlands |
Volume: | 62 |
Issue: | 1 |
Start Page Number: | 103 |
End Page Number: | 130 |
Publication Date: | Mar 1996 |
Journal: | Annals of Operations Research |
Authors: | Wright Stephen J. |
Keywords: | programming: quadratic |
The paper describes an algorithm for the monotone linear complementarity problem (LCP) that converges from any 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 complementarity solution, the method converges subquadratically. The paper shows that the algorithm and its convergence properties 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.