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A projected-gradient interior-point algorithm for complementarity problems.
- Source :
-
Numerical Algorithms . Aug2011, Vol. 57 Issue 4, p457-485. 29p. - Publication Year :
- 2011
-
Abstract
- Interior-point algorithms are among the most efficient techniques for solving complementarity problems. In this paper, a procedure for globalizing interior-point algorithms by using the maximum stepsize is introduced. The algorithm combines exact or inexact interior-point and projected-gradient search techniques and employs a line-search procedure for the natural merit function associated with the complementarity problem. For linear problems, the maximum stepsize is shown to be acceptable if the Newton interior-point search direction is employed. Complementarity and optimization problems are discussed, for which the algorithm is able to process by either finding a solution or showing that no solution exists. A modification of the algorithm for dealing with infeasible linear complementarity problems is introduced which, in practice, employs only interior-point search directions. Computational experiments on the solution of complementarity problems and convex programming problems by the new algorithm are included. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 10171398
- Volume :
- 57
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Numerical Algorithms
- Publication Type :
- Academic Journal
- Accession number :
- 62520045
- Full Text :
- https://doi.org/10.1007/s11075-010-9439-0