A path-following interior-point algorithm for linear and quadratic problems

A path-following interior-point algorithm for linear and quadratic problems

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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:
Keywords: programming: quadratic
Abstract:

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.

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