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Path-following interior point algorithms based on wide neighborhoods and a new class of directions. (Chinese. English summary) Zbl 1363.90257

Summary: This paper presents a class of path-following interior point algorithms for the monotone linear complementarity problems based on wide neighborhoods and the new directions with a parameter \(\theta\). When the parameter \(\theta = 1\), the new direction is exactly the classical Newton direction. The algorithms have \(O(nL)\) iteration complexity when the parameter \(\theta\) is independent of the dimension \(n\), which coincides with the best known iteration complexity for the classical wide neighborhood algorithms. When \(\theta =\sqrt{n/\beta\tau}\), the algorithm has \(O(\sqrt{n}L^)\) iteration complexity, the best iteration complexity obtained so far by any interior point method for solving linear complementarity problems, where \(\beta\) and \(\tau\) are neighborhood parameters. To our knowledge this is the first time that a class of interior point algorithms including the classical wide neighborhood path-following algorithm is proposed and analyzed.

MSC:

90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
90C51 Interior-point methods
90C05 Linear programming
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