Complexity analysis and numerical implementation of a full-Newton step interior-point algorithm for LCCO

In this paper, we present a primal-dual interior point algorithm for linearly constrained convex optimization (LCCO). The algorithm uses only full-Newton step to update iterates with an appropriate proximity measure for controlling feasible iterations near the central path during the solution proces...

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Vydané v:Numerical algorithms Ročník 70; číslo 2; s. 393 - 405
Hlavní autori: Achache, Mohamed, Goutali, Moufida
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York Springer US 01.10.2015
Springer Nature B.V
Predmet:
Algebra
Algorithms
Complexity
Computer Science
Convexity
Numeric Computing
Numerical Analysis
Optimization
Original Paper
Polynomials
Theory of Computation
Interior point methods
90C51
Linearly constrained convex optimization
Short-step primal-dual algorithms
90C25
Complexity of algorithms
ISSN:1017-1398, 1572-9265
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Shrnutí:In this paper, we present a primal-dual interior point algorithm for linearly constrained convex optimization (LCCO). The algorithm uses only full-Newton step to update iterates with an appropriate proximity measure for controlling feasible iterations near the central path during the solution process. The favorable polynomial complexity bound for the algorithm with short-step method is obtained, namely O ( n log n 𝜖 ) which is as good as the linear and convex quadratic optimization analogue. Numerical results are reported to show the efficiency of the algorithm.
Bibliografia:ObjectType-Article-1
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content type line 14
ISSN:1017-1398
1572-9265
DOI:10.1007/s11075-014-9955-4