On the convergence rate of Newton interior-point methods in the absence of strict complementarity

On the convergence rate of Newton interior-point methods in the absence of strict complementarity

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Article ID: iaor19981438
Country: Netherlands
Volume: 6
Issue: 2
Start Page Number: 157
End Page Number: 167
Publication Date: Sep 1996
Journal: Computational Optimization and Applications
Authors: , ,
Keywords: interior point methods
Abstract:

In the absence of strict complementarity, Monteiro and Wright proved that the convergence rate for a class of Newton interior-point methods for linear complementarity problems is at best linear. They also established an upper bound of 1/4 for the Q1-factor of the duality gap sequence when the steplengths converge to one. In the current paper, we prove that the Q1 factor of the duality gap sequence is exactly 1/4. In addition, the convergence of the Tapia indicators is also discussed.

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