Abstract
As in many primal—dual interior-point algorithms, a primal—dual infeasible-interior-point algorithm chooses a new point along the Newton direction towards a point on the central trajectory, but it does not confine the iterates within the feasible region. This paper proposes a step length rule with which the algorithm takes large distinct step lengths in the primal and dual spaces and enjoys the global convergence.
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Part of this research was done when M. Kojima and S. Mizuno visited at the IBM Almaden Research Center. Partial support from the Office of Naval Research under Contract N00014-91-C-0026 is acknowledged.
Supported by Grant-in-Aids for Co-operative Research (03832017) of The Japan Ministry of Education, Science and Culture.
Supported by Grant-in-Aids for Encouragement of Young Scientist (03740125) and Co-operative Research (03832017) of The Japan Ministry of Education, Science and Culture.
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Kojima, M., Megiddo, N. & Mizuno, S. A primal—dual infeasible-interior-point algorithm for linear programming. Mathematical Programming 61, 263–280 (1993). https://doi.org/10.1007/BF01582151
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DOI: https://doi.org/10.1007/BF01582151