Convergence Analysis of the Inexact Infeasible Interior-Point Method for Linear Optimization

G. Al-Jeiroudi () and J. Gondzio ()
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G. Al-Jeiroudi: University of Edinburgh
J. Gondzio: University of Edinburgh

Journal of Optimization Theory and Applications, 2009, vol. 141, issue 2, No 1, 247 pages

Abstract: Abstract We present the convergence analysis of the inexact infeasible path-following (IIPF) interior-point algorithm. In this algorithm, the preconditioned conjugate gradient method is used to solve the reduced KKT system (the augmented system). The augmented system is preconditioned by using a block triangular matrix. The KKT system is solved approximately. Therefore, it becomes necessary to study the convergence of the interior-point method for this specific inexact case. We present the convergence analysis of the inexact infeasible path-following (IIPF) algorithm, prove the global convergence of this method and provide complexity analysis.

Keywords: Inexact interior-point methods; Linear programming; Preconditioned conjugate gradients; Indefinite system (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s10957-008-9500-5

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