Underlying paths in interior point methods for the monotone semidefinite linear complementarity problem

  • Authors:
  • Chee-Khian Sim;Gongyun Zhao

  • Affiliations:
  • The Logistics Institute - Asia Pacific, Block AS6, Level 5, 11 Law Link, 119260, Singapore, Singapore;National University of Singapore, Department of Mathematics, 2 Science Drive 2, 117543, Singapore, Singapore

  • Venue:
  • Mathematical Programming: Series A and B
  • Year:
  • 2007

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Abstract

An interior point method defines a search direction at each interior point of the feasible region. The search directions at all interior points together form a direction field, which gives rise to a system of ordinary differential equations (ODEs). Given an initial point in the interior of the feasible region, the unique solution of the ODE system is a curve passing through the point, with tangents parallel to the search directions along the curve. We call such curves off-central paths. We study off-central paths for the monotone semidefinite linear complementarity problem (SDLCP). We show that each off-central path is a well-defined analytic curve with parameter μ ranging over (0, ∞) and any accumulation point of the off-central path is a solution to SDLCP. Through a simple example we show that the off-central paths are not analytic as a function of $$\sqrt{\mu}$$ and have first derivatives which are unbounded as a function of μ at μ  =  0 in general. On the other hand, for the same example, we can find a subset of off-central paths which are analytic at μ  =  0. These “nice” paths are characterized by some algebraic equations.