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Global convergence of the affine scaling methods for degenerate linear programming problems

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Abstract

In this paper we show the global convergence of the affine scaling methods without assuming any condition on degeneracy. The behavior of the method near degenerate faces is analyzed in detail on the basis of the equivalence between the affine scaling methods for homogeneous LP problems and Karmarkar's method. It is shown that the step-size 1/8, where the displacement vector is normalized with respect to the distance in the scaled space, is sufficient to guarantee the global convergence of the affine scaling methods.

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  1. The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-ku, 106, Tokyo, Japan

    Takashi Tsuchiya

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  1. Takashi Tsuchiya
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Tsuchiya, T. Global convergence of the affine scaling methods for degenerate linear programming problems. Mathematical Programming 52, 377–404 (1991). https://doi.org/10.1007/BF01582896

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  • DOI: https://doi.org/10.1007/BF01582896

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