Fast convergence of the simplified largest step path following algorithm
Résumé
Each master iteration of a simplified Newton algorithm for solving a system of equations starts by computing the Jacobian matrix and then uses this matrix in the computation of $ p $ Newton steps: the first of these steps is exact, and the other are called ``simplified''. In this paper we apply this approach to a large step path following algorithm for monotone linear complementarity problems. The resulting method generates sequences of objective values (duality gaps) that converge to zero with Q-order $ p+1$ in the number of master iterations, and with a complexity of $ O(\sqrt n L) $ iterations.