Interior point methods for solving Pareto eigenvalue complementarity problems

Abstract

In this paper, we propose to solve Pareto eigenvalue complementarity problems by using interior-point methods. Precisely, we focus the study on an adaptation of the Mehrotra Predictor Corrector Method (MPCM) and a Non-Parametric Interior Point Method (NPIPM). We compare these two methods with two alternative methods, namely the Lattice Projection Method (LPM) and the Soft Max Method (SM). On a set of data generated from the Matrix Market, the performance profiles highlight the efficiency of MPCM and NPIPM for solving eigenvalue complementarity problems. We also consider an application to a concrete and large size situation corresponding to a geomechanical fracture problem. Finally, we discuss the extension of MPCM and NPIPM methods to solve quadratic pencil eigenvalue problems under conic constraints.