Fast convergence of the simplified largest step path following algorithm

Abstract : Each master iteration of a simplified Newton algorithm for solving a system of equations starts by computing the Jacobian matrix and then uses this matrix in the computation of $ p $ Newton steps: the first of these steps is exact, and the other are called ``simplified''. In this paper we apply this approach to a large step path following algorithm for monotone linear complementarity problems. The resulting method generates sequences of objective values (duality gaps) that converge to zero with Q-order $ p+1$ in the number of master iterations, and with a complexity of $ O(\sqrt n L) $ iterations.
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Rapport
[Research Report] RR-2433, INRIA. 1994
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https://hal.inria.fr/inria-00074242
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Soumis le : mercredi 24 mai 2006 - 14:50:49
Dernière modification le : vendredi 25 mai 2018 - 12:02:05
Document(s) archivé(s) le : lundi 5 avril 2010 - 00:06:56

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  • HAL Id : inria-00074242, version 1

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Clovis C. Gonzaga, J. Frederic Bonnans. Fast convergence of the simplified largest step path following algorithm. [Research Report] RR-2433, INRIA. 1994. 〈inria-00074242〉

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