A two-cut approach in the analytic center cutting plane method

Jean-Louis Goffin and Jean-Philippe Vial

Mathematical Methods of Operations Research, 1999, vol. 49, issue 1, 149-169

Abstract: We analyze the two cut generation scheme in the analytic center cutting plane method. We propose an optimal updating direction when the two cuts are central. The direction is optimal in the sense that it maximizes the product of the new slacks within the trust region defined by Dikin's ellipsoid. We prove convergence in calls to the oracle and show that the recovery of a new analytic center can be done in O(1) primal damped Newton steps. Copyright Springer-Verlag Berlin Heidelberg 1999

Keywords: Key words: Primal Newton algorithm; analytic center; cutting plane method; two cuts (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:49:y:1999:i:1:p:149-169

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DOI: 10.1007/s186-1999-8372-7

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