Inexact non-interior continuation method for solving large-scale monotone SDCP |
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Authors: | Shao-Ping Rui Cheng-Xian Xu |
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Institution: | a Department of Mathematics, Faculty of Science, Xi’an Jiaotong University, Xi’an 710049, PR China b Department of Mathematics, Huaibei Coal Industry Teachers College, Huaibei 235000, PR China |
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Abstract: | For exact Newton method for solving monotone semidefinite complementarity problems (SDCP), one needs to exactly solve a linear system of equations at each iteration. For problems of large size, solving the linear system of equations exactly can be very expensive. In this paper, we propose a new inexact smoothing/continuation algorithm for solution of large-scale monotone SDCP. At each iteration the corresponding linear system of equations is solved only approximately. Under mild assumptions, the algorithm is shown to be both globally and superlinearly convergent. |
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Keywords: | Monotone semidefinite complementarity problem Inexact non-interior continuation method Large-scale problem Local superlinear convergence |
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