The Global Linear Convergence of an Infeasible
Non-Interior Path-Following Algorithm for
Complementarity Problems with Uniform P-Functions
We propose an infeasible non-interior path-following method for the
problems with uniform P-functions. This method is based on the
smoothing techniques introduced by Kanzow.
The key to our analysis is the introduction of a new notion of neighborhood
for the central path which is suitable for infeasible
non-interior path-following methods. By restricting
the iterates in the neighborhood of the central path, we provide a natural
rule to update the smoothing parameter and establish the
global linear convergence of this method.
Some preliminary computational results are reported.
Technical Report, Department of Mathematics,
University of Washington, Seattle, WA 98195,