Download PDF by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko: A Unified Approach to Interior Point Algorithms for Linear

By Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise

ISBN-10: 354038426X

ISBN-13: 9783540384267

ISBN-10: 3540545093

ISBN-13: 9783540545095

Following Karmarkar's 1984 linear programming set of rules, quite a few interior-point algorithms were proposed for varied mathematical programming difficulties comparable to linear programming, convex quadratic programming and convex programming in most cases. This monograph offers a research of interior-point algorithms for the linear complementarity challenge (LCP) that's referred to as a mathematical version for primal-dual pairs of linear courses and convex quadratic courses. a wide relations of capability aid algorithms is gifted in a unified approach for the category of LCPs the place the underlying matrix has nonnegative central minors (P0-matrix). This classification comprises numerous very important subclasses akin to confident semi-definite matrices, P-matrices, P*-matrices brought during this monograph, and column enough matrices. The kin includes not just the standard power aid algorithms but additionally course following algorithms and a damped Newton approach for the LCP. the most subject matters are international convergence, worldwide linear convergence, and the polynomial-time convergence of power aid algorithms integrated within the family.

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Extra info for A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems

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11. Let ( x , y ) E S++. Assume that w = w(~, y ) < 1. Then we have: (i) v,~i, > ~ ( 1 - w ) p . ',y) iEN Proof: and vmaz = vma~(a~,y) = m a x v i ( ~ , y ) . 8) of w, we see t h a t V 02 ~- Vml n - - V-l e n I ~)min ~> Vmin ~ - - Vmi n Id Hence the assertion (i) follows. T o prove the assertion (ii), we observe t h a t W \ #v,~o, ] or equivalently 2 -w,fgvmo~ This inequality implies t h e assertion (ii). Lemma vff ~<0. m ~ and g. E (0,1]. A s s u m e eT 8 = n and man sl = gr. 12. ~n/~-l)(1-~).

When fl = 1, the solution curve equals the llne segment { P u ° + tQu ° : 0 < t < 1} connecting u ° and P u °. See Figure 13. 13. 21) above are quite similar to the ones that were given by Tanabe [68]. Similar studies were also done in Bayer and Lagarias [5, 6] and Megiddo and Shub [43]. 2). 8) is a descent direction of the potential function f . Recall that the search direction (din, dy) depends on the parameter fl E [0,1] and can be regarded as a convex combination of the centering direction (dinc, dy ~) and the affine scaling direction (dina, dya), which correspond to the cases fi = 1 and fl = 0, respectively.

Xn), Y = diag (y~,Y2,... 1). We then see that A)I¢ = 0 for ~ = (~, *7) # 0. '~. 6)). 1). 2. The mappin# u is one-to-one on S++ = { ( z , y ) E R~+ : y = M z + q} whenever M is a Po-matriz. " Assume on the contrary that u ( z ~ , y ~) = u ( z 2 , y 2) for some distinct ( z l , y 1) , ( z 2 , y 2) e S++. Then M ( z l _ z2) = yl _ y2 and z i y 1 = z i y 2 > 0 (i E N). l We may assume without loss of generality that zj1 > zff. Then the inequality above implies that yJ _> y~. This contradicts the equality xjy i l 1 = xjyj22 > 0.

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A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise

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