Long-Step Primal Path-Following Algorithm for Monotone Variational Inequality Problems

J. H. Wu
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J. H. Wu: Université de Montréal

Journal of Optimization Theory and Applications, 1998, vol. 99, issue 2, No 11, 509-531

Abstract: Abstract In this paper, we present a long-step primal path-following algorithm and prove its global convergence under usual assumptions. It is seen that the short-step algorithm is a special case of the long-step algorithm for a specific selection of the parameters and the initial solution. Our theoretical result indicates that the long-step algorithm is more flexible. Numerical results indicate that the long-step algorithm converges faster than the short-step algorithm.

Keywords: Mathematical programming; variational inequalities; Newton method; interior-point methods; path-following methods; barrier-function methods (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1023/A:1021786630040

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