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Reports (Research Report) Year : 1994

Fast convergence of the simplified largest step path following algorithm

Clovis C. Gonzaga
  • Function : Author
J. Frederic Bonnans
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  • PersonId : 833418
  • IdHAL : bonnans

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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Dates and versions

inria-00074242 , version 1 (24-05-2006)

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  • HAL Id : inria-00074242 , version 1

Cite

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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