The Homogeneous Self-Dual Method

Robert J. Vanderbei
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Robert J. Vanderbei: Princeton University

Chapter Chapter 22 in Linear Programming, 2014, pp 323-341 from Springer

Abstract: Abstract In Chapter 18, we described and analyzed an interior-point method called the path-following algorithm. This algorithm is essentially what one implements in practice but as we saw in the section on convergence analysis, it is not easy (and perhaps not possible) to give a complete proof that the method converges to an optimal solution. If convergence were completely established, the question would still remain as to how fast is the convergence. In this chapter, we shall present a similar algorithm for which a complete convergence analysis can be given.

Keywords: Interior-point Methods; Complete Convergence Analysis; Path-following Algorithm; Long-step Variant; Step Direction (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-1-4614-7630-6_22

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