Interior-point algorithm for sufficient LCPs based on the technique of algebraically equivalent transformation

Abstract

AbstractWe present a short-step interior-point algorithm (IPA) for sufficient linear complementarity problems (LCPs) based on a new search direction. An algebraic equivalent transformation (AET) is used on the centrality equation of the central path system and Newton’s method is applied on this modified system. This technique was offered by Zsolt Darvay for linear optimization in 2002. Darvay first used the square root function as AET and in 2012 Darvay et al. applied this technique with an other transformation formed by the difference of the identity map and the square root function. We apply the AET technique with the new function to transform the central path equation of the sufficient LCPs. This technique leads to new search directions for the problem. We introduce an IPA with full Newton steps and prove that the iteration bound of the algorithm coincides with the best known one for sufficient LCPs. We present some numerical results to illustrate performance of the proposed IPA on two significantly different sets of test problems and compare it, with related, quite similar variants of IPAs.