Download e-book for kindle: A Unified Approach to Interior Point Algorithms for Linear by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko

By Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise

ISBN-10: 354038426X

ISBN-13: 9783540384267

ISBN-10: 3540545093

ISBN-13: 9783540545095

Following Karmarkar's 1984 linear programming set of rules, various interior-point algorithms were proposed for numerous mathematical programming difficulties comparable to linear programming, convex quadratic programming and convex programming in most cases. This monograph provides a examine of interior-point algorithms for the linear complementarity challenge (LCP) that's often called a mathematical version for primal-dual pairs of linear courses and convex quadratic courses. a wide kin of strength relief algorithms is gifted in a unified means for the category of LCPs the place the underlying matrix has nonnegative important minors (P0-matrix). This category contains numerous vital subclasses equivalent to optimistic semi-definite matrices, P-matrices, P*-matrices brought during this monograph, and column enough matrices. The relatives includes not just the standard strength relief algorithms but additionally direction following algorithms and a damped Newton approach for the LCP. the most themes are international convergence, worldwide linear convergence, and the polynomial-time convergence of power aid algorithms integrated within the family.

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Get A Unified Approach to Interior Point Algorithms for Linear PDF

Following Karmarkar's 1984 linear programming set of rules, quite a few interior-point algorithms were proposed for numerous mathematical programming difficulties reminiscent of linear programming, convex quadratic programming and convex programming more often than not. This monograph offers a examine of interior-point algorithms for the linear complementarity challenge (LCP) that's often called a mathematical version for primal-dual pairs of linear courses and convex quadratic courses.

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Additional info for A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems

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R m" of a:ru = b and u~ e {0,1} ( i = 1 , 2 , . . , m ) . 16) The knapsack problem is known to be NP-complete (see, for example, Schrijver [61]). We will reduce it to a linear complementarity problem with a P0-matrix. , ~4~+u)w E//4~+2 be such that ~i = {aj 0 if i = 4 j - 3 otherwise. 16) can be rewritten as aT~ = b and zl e {0,1} (i = 1,5,... 4 m - 3). 17) 0) /0/0 Here, z E R 4"*+2 is a variable vector. )2 ~ O~ V2W 2 = 0~ w3=vl+v2-1>0, vz>_0, v a w 3 = O , w4 = - v 1 + 1 > > O, v4 > O, v4w4 = O.

1) as t (> 0) tends to O. In particular, the LCP has a solution. 3. 2. The Jacobian matrix of the restriction of u to S++ with respect to z is Y + X M , where X = diag z and Y = diag y. 1). Hence the mapping u is a diffeomorphism between S++ and/P++. Thus we have shown (i). 2) of the path of centers Sc,,. We will show (iii). Let [ > 0. 1, the subset {u-Z(te) : 0 < t < t-} of the path of centers Scan is bounded. Hence there is at least one accumulation point of u -~ (re) as t --~ 0. 1). Now we utilize some result on real algebraic varieties.

Obviously, the set V is a real algebraic variety, so it has a triangulation. Let (~, ~t) be an accumulating point of u-~(te) as t ~ 0. ~,9,0) lies in V. ). p,-*~ On the other hand, we know that V Cl R~++1 coincides with the one-dimensional curve {(u-Z(te),t) : t > 0}. Thus, the subset {(u-l(te),t): t '+~ < t < t'} of the curve must 38 be contained in the set a for every p, since otherwise a is not arcwise connected. This ensures that u-1(te) converges to (5:,~) as t ~ 0. 1. 1. 5. -matriz and that a point (a~l,y ') E S++ is known.

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A Unified Approach to Interior Point Algorithms for Linear Complementarity Problems by Masakazu Kojima, Nimrod Megiddo, Toshihito Noma, Akiko Yoshise


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