A Full-Newton step infeasible-interior-point algorithm for P*(k)-horizontal linear complementarity problems

In this paper we generalize an infeasible interior-point method for linear optimization to horizontal linear complementarity problem (HLCP). This algorithm starts from strictly feasible iterates on the central path of a perturbed problem that is produced by suitable perturbation in HLCP problem. Then, we use so-called feasibility steps that serves to generate strictly feasible iterates for the next perturbed problem. After accomplishing a few centering steps for the new perturbed problem, we obtain strictly feasible iterates close enough to the central path of the new perturbed problem. The complexity of the algorithm coincides with the best known iteration complexity for infeasible interior-point methods.

Abstract licence: CC BY-NC-SA

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