Weighted-path-following interior-point algorithm to monotone mixed linear complementarity problem |
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Authors: | Guo-qiang Wang Yu-jing Yue Xin-zhong Cai |
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Institution: | (1) Department of Mathematics, University of Washington, Seattle, Washington;(2) Department of Combinatorics and Optimization, University of Waterloo, Waterloo, Ontario, Canada |
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Abstract: | In this paper we propose a weighted-path-following interior-point algorithm to monotone mixed linear complementarity problem.
The algorithm is based on a new technique for finding a class of search directions and the strategy of the central path. At
each iteration, we only use full-Newton step. Finally, the currently best known iteration bound for the algorithm with a small-update
method, namely, O(√nlog n/ε) is derived, which is as good as the bound for the linear optimization analogue. |
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