1993•Optimization methods & softwareRequires access
A path-following infeasible-interior-point algorithm for linear complementarity problems
Stephen J. Wright
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Abstract
We describe an infeasible-interior-point algorithm for monotone linear complementarity problems that has polynomial complexity, global linear convergence, and local superlinear convergence with a Q-order of 2. Only one matrix factorization is required per iteration, and the analysis assumes only that a strictly complementary solution exists.