An Infeasible Interior-point Algorithm for Monotone Linear Complementarity Problems

Abstract

In this study, we implement a variant of infeasible interior-point algorithm for solving monotone linear complementarity problems (LCP). We first reformulate the monotone LCP as an minimization problem. Then a descent iterative method is applied to the latter. The descent direction is computed via the Newton method. However, for maintaining the positivity of iterates, a novel and efficient strategy is proposed. Some numerical results are reported to show the efficiency of our proposed approach.