Title

A Continuation Algorithm for a Class of Linear Complementarity Problems Using an Extrapolation Technique

Document Type

Article

Publication Date

6-1-1993

Department

Mathematics

Abstract

A polynomial-time continuation algorithm is presented for a class of linear complementarity problems with positive semidefinite matrices. The linear extrapolation technique is combined with the Newton iteration in the predictor-corrector procedure of the algorithm to numerically follow the solution curve of the homotopy equations arising from the perturbed Karush-Kuhn-Tucker condition. The convergence rate of the method is proved to be 1 - 4/(7 square-root n) after each cycle consisting of one extrapolation between two Newton steps.

Publication Title

Linear Algebra and Its Applications

Volume

186

First Page

199

Last Page

214