Improved Full-Newton Step O(nL) Infeasible Interior-Point Method for Linear Optimization

Journal article (2009)
Department
Software Technology (EEMCS) (TU Delft)
Copyright: © 2009 The Author(s). This article is published with open access at Springerlink.com
DOI: https://doi.org/doi:10.1007/s10957-009-9634-0
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Published Date

04-11-2009

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Source:

Journal of Optimization Theory and Applications, 145 (2), 2010

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Software Technology

Abstract

We present several improvements of the full-Newton step infeasible interior-point method for linear optimization introduced by Roos (SIAM J. Optim. 16(4):1110–1136, 2006). Each main step of the method consists of a feasibility step and several centering steps. We use a more natural feasibility step, which targets the ?+-center of the next pair of perturbed problems. As for the centering steps, we apply a sharper quadratic convergence result, which leads to a slightly wider neighborhood for the feasibility steps. Moreover, the analysis is much simplified and the iteration bound is slightly better.

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