A new full-Newton step feasible interior point method for convex quadratic programming

Abstract

In this paper, we propose and analyse a new full-Newton step feasible interior point method for convex quadratic programming. The basic idea of this method is to replace a complementarity condition by a non-negative variable weight vector. With a zero of weight vector, the limit of the weighted path exists and satisfies the complementarity condition, the limit yields an optimal solution of problem. In each main iteration of the new algorithm consisted of only full-Newton steps with a quadratic rate of convergence. The advantage of this method is the use of a full-Newton step, that is no calculation of the step size is required. Finally, some numerical results are reported to show the practical performance of the proposed algorithm with different parameters.