Inexact non-interior continuation method for solving large-scale monotone SDCP

DOI10.1016/J.AMC.2009.08.059MaRDI QIDQ1044421zbMATH OpenOpenAlexFDO

Authors Shaoping Rui, Cheng-Xian Xu

Publication date 18 December 2009

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2009.08.059

zbMATH Keywords

inexact non-interior continuation methodlarge-scale problemlocal superlinear convergencemonotone semidefinite complementarity problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Review text

The authors propose an inexact approach for the solution of large-scale monotone semidefinite complementarity problems. Similar to the inexact Newton method for solving nonlinear equations the authors propose the appropriate choice of a forcing parameter that controls the accuracy of the step computation. This inexact step calculation is embedded in a non-interior continuation method based on a smoothed Fischer-Burmeister function introduced by \textit{C. Kanzow} [SIAM J. Matrix Anal. Appl. 17, No. 4, 851--868 (1996; Zbl 0868.90123)]. Assuming boundedness, strict complementarity, and nondegeneracy, the authors prove convergence of the proposed algorithm where the results with respect to the convergence rate show similarities to the results known for the inexact Newton method to compute a solution of a given system of nonlinear equations.

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Cited in

(6)

• Non-interior continuation methods for solving semidefinite complementarity problems
• Non-interior continuation method for solving the monotone semidefinite complementarity problem
• A global linear and local quadratic single-step noninterior continuation method for monotone semidefinite complementarity problems
• Complementarity problems over symmetric cones: A survey of recent developments in several aspects
• An inexact non-interior continuation method for semidefinite programming: convergence analysis and numerical results
• Inexact non-interior continuation method for monotone semidefinite complementarity problems

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