Darvay, Zsolt and Rigó, Petra Renáta (2021) New predictorcorrector interiorpoint algorithm for symmetric cone horizontal linear complementarity problems. Working Paper. Corvinus University of Budapest, Budapest.

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Abstract
In this paper we propose a new predictorcorrector interiorpoint algorithm for solving P_* (κ) horizontal linear complementarity problems defined on a Cartesian product of symmetric cones, which is not based on a usual barrier function. We generalize the predictorcorrector algorithm introduced in [13] to P_* (κ)linear horizontal complementarity problems on a Cartesian product of symmetric cones. We apply the algebraic equivalent transformation technique proposed by Darvay [9] and we use the function φ(t)=t√t in order to determine the new search directions. In each iteration the proposed algorithm performs one predictor and one corrector step. We prove that the predictorcorrector interiorpoint algorithm has the same complexity bound as the best known interiorpoint algorithms for solving these types of problems. Furthermore, we provide a condition related to the proximity and update parameters for which the introduced predictorcorrector algorithm is well defined.
Item Type:  Monograph (Working Paper) 

Series Name:  Corvinus Economics Working Papers  CEWP 
Series Number / Identification Number:  2021/01 
Uncontrolled Keywords:  Horizontal linear complementarity problem, Cartesian product of symmetric cones, Predictorcorrector interiorpoint algorithm, Euclidean Jordan algebra, Algebraic equivalent transformation technique 
JEL classification:  A32  Collective Volumes A33  Handbooks A39  Collective Works: Other B00  History of Economic Thought, Methodology, and Heterodox Approaches 
Subjects:  Mathematics, Econometrics 
ID Code:  6323 
Deposited By:  Ádám Hoffmann 
Deposited On:  04 Mar 2021 17:30 
Last Modified:  15 Apr 2021 15:09 
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