Convergence of a short-step primal-dual algorithm based on the Gauss-Newton direction

Serge Kruk and Henry Wolkowicz

Journal of Applied Mathematics, 2003, vol. 2003, 1-18

Abstract:

We prove the theoretical convergence of a short-step, approximate path-following, interior-point primal-dual algorithm for semidefinite programs based on the Gauss-Newton direction obtained from minimizing the norm of the perturbed optimality conditions. This is the first proof of convergence for the Gauss-Newton direction in this context. It assumes strict complementarity and uniqueness of the optimal solution as well as an estimate of the smallest singular value of the Jacobian.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:836784

DOI: 10.1155/S1110757X03301081

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