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A superquadratic infeasible-interior-point method for linear complementarity problems

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Abstract

We consider a modification of a path-following infeasible-interior-point algorithm described by Wright. In the new algorithm, we attempt to improve each major iterate by reusing the coefficient matrix factors from the latest step. We show that the modified algorithm has similar theoretical global convergence properties to those of the earlier algorithm while its asymptotic convergence rate can be made superquadratic by an appropriate parameter choice.

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Authors and Affiliations

  1. Mathematics and Computer Science Division, Argonne National Laboratory, 9700 South Cass Avenue, 60439, Argonne, IL, USA

    Stephen Wright

  2. Department of Mathematics and Statistics, University of Maryland, Baltimore County, 21228, Baltimore, MD, USA

    Yin Zhang

Authors
  1. Stephen Wright
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  2. Yin Zhang
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Additional information

The work of this author was based on research supported by the Office of Scientific Computing, US Department of Energy, under Contract W-31-109-Eng-38.

The work of this author was based on research supported in part by the US Department of Energy under Grant DE-FG02-93ER25171.

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Wright, S., Zhang, Y. A superquadratic infeasible-interior-point method for linear complementarity problems. Mathematical Programming 73, 269–289 (1996). https://doi.org/10.1007/BF02592215

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  • DOI: https://doi.org/10.1007/BF02592215

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