Identification of the optimal active set in a noninterior continuation method for LCP (Q1422880): Difference between revisions
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Latest revision as of 04:18, 5 March 2024
scientific article
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English | Identification of the optimal active set in a noninterior continuation method for LCP |
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Identification of the optimal active set in a noninterior continuation method for LCP (English)
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12 February 2004
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The authors investigate convergence properties of a modification of the non-interior point method continuation method suggested by \textit{J. Burke} and \textit{S. Xu} [J. Optimization Theory. Appl. 112, 53--76 (2002; Zbl 1049.90097)] for the standard linear complementarity problem. It is shown that the method determines the optimal active set of this problem in a finite number of iterations if the basic matrix is \(P\) and the problem is not degenerate. Namely, the method requires \(O( \rho \log (\beta_{0} \mu_{0} / \tau))\) iterations, where \(\beta_{0}\) is the width of the initial neighborhood, \(\mu_{0}\) is the initial smoothing parameter, and the constants \(\rho\) and \(\tau\) depend on the properties of the problem.
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linear complementarity
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continuation method
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optimal active set
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