Long-Step Homogeneous Interior-Point Algorithm for the P*-Nonlinear Complementarity Problems


Goran Lešaja




A P* -Nonlinear Complementarity Problem as a generalization of the P* -Linear Complementarity Problem is considered. We show that the long-step version of the homogeneous self-dual interior-point algorithm could be used to solve such a problem. The algorithm achieves linear global convergence and quadratic local convergence under the following assumptions: the function satisfies a modified scaled Lipschitz condition, the problem has a strictly complementary solution, and certain submatrix of the Jacobian is nonsingular on some compact set.