A Superquadratic Infeasible-Interior-Point Method for Linear Complementarity Problems

Stephen Wright and Yin Zhang

We consider a modification of a path-following infeasible-interior-point algorithm described by Wright. In the new algorithm, we attempt to improve each major iterate by reusing the coefficient matrix factors from the latest step. We show that the modified algorithm has similar theoretical global convergence properties to those of the earlier algorithm, while its asymptotic convergence rate can be made superquadratic by an appropriate choice of parameters.

Preprint MCS-P485-1294, MCS Division, Argonne National Laboratory. (Revised, March, 1996.)

Contact: wright@mcs.anl.gov