A path-following interior-point algorithm for linear and quadratic problems

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Description

We describe an algorithm for the monotone linear complementarity problem that converges for many positive, not necessarily feasible, starting point and exhibits polynomial complexity if some additional assumptions are made on the starting point. If the problem has a strictly complementary solution, the method converges subquadratically. We show that the algorithm and its convergence extend readily to the mixed monotone linear complementarity problem and, hence, to all the usual formulations of the linear programming and convex quadratic programming problems.

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25 p.

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Wright, S.J. December 1, 1993.

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Description

We describe an algorithm for the monotone linear complementarity problem that converges for many positive, not necessarily feasible, starting point and exhibits polynomial complexity if some additional assumptions are made on the starting point. If the problem has a strictly complementary solution, the method converges subquadratically. We show that the algorithm and its convergence extend readily to the mixed monotone linear complementarity problem and, hence, to all the usual formulations of the linear programming and convex quadratic programming problems.

Physical Description

25 p.

Notes

OSTI as DE97001014

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  • Other Information: PBD: Dec 1993

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  • Other: DE97001014
  • Report No.: MCS-P--401-1293
  • Grant Number: W-31109-ENG-38
  • DOI: 10.2172/432434 | External Link
  • Office of Scientific & Technical Information Report Number: 432434
  • Archival Resource Key: ark:/67531/metadc682711

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Creation Date

  • December 1, 1993

Added to The UNT Digital Library

  • July 25, 2015, 2:20 a.m.

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  • Dec. 14, 2015, 6:40 p.m.

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Wright, S.J. A path-following interior-point algorithm for linear and quadratic problems, report, December 1, 1993; Illinois. (digital.library.unt.edu/ark:/67531/metadc682711/: accessed August 16, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT Libraries Government Documents Department.