A Generalized Direction in Interior Point Method for Monotone Linear Complementarity Problems

Abstract : In this paper, we present a new interior point method with full Newton step for monotone linear complementarity problems. The specificity of our method is to compute the Newton step using a modified system similar to that introduced by Darvay in 2003. We prove that this new method possesses the best known upper bound complexity for these methods. Moreover, we extend results known in the literature since we consider a general family of smooth concave functions in the Newton system instead of the square root. Some computational results are included to illustrate the validity of the proposed algorithm.
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Mounir Haddou, Tangi Migot, Jérémy Omer. A Generalized Direction in Interior Point Method for Monotone Linear Complementarity Problems. Optimization Letters, Springer Verlag, 2019, 13 (1), pp.35-53. ⟨10.1007/s11590-018-1241-2⟩. ⟨hal-01355566⟩

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