Improved Full-Newton-Step Infeasible Interior-Point Method for Linear Complementarity Problems

Abstract

We present an Infeasible Interior-Point Method for monotone Linear Complementarity Problem (LCP) which is an improved version of the algorithm given in [13]. In the earlier version, each iteration consisted of one feasibility step and few centering steps. The improved version guarantees that after one feasibility step, the new iterate is feasible and close enough to the central path thanks to the much tighter proximity estimate which is based on the new lemma introduced in [18]. Thus, the centering steps are eliminated. Another advantage of this method is the use of full-Newton-steps, that is, no calculation of the step size is required. The preliminary implementation and numerical results demonstrate the advantage of the improved version of the method in comparison with the old one.

Keywords

• linear complementarity problems
• interior-point method
• infeasible interior-point method
• full-Newton-step