Abstract
Many interior-point methods for linear programming are based on the properties of the logarithmic barrier function. After a preliminary discussion of the convergence of the (primal) projected Newton barrier method, three types of barrier method are analyzed. These methods may be categorized as primal, dual and primal—dual, and may be derived from the application of Newton's method to different variants of the same system of nonlinear equations. A fourth variant of the same equations leads to a new primal—dual method.
In each of the methods discussed, convergence is demonstrated without the need for a nondegeneracy assumption or a transformation that makes the provision of a feasible point trivial. In particular, convergence is established for a primal—dual algorithm that allows a different step in the primal and dual variables and does not require primal and dual feasibility.
Finally, a new method for treating free variables is proposed.
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The material contained in this paper is based upon research supported by the National Science Foundation Grant DDM-9204208 and the Office of Naval Research Grant N00014-90-J-1242.
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Gill, P.E., Murray, W., Ponceleón, D.B. et al. Primal—dual methods for linear programming. Mathematical Programming 70, 251–277 (1995). https://doi.org/10.1007/BF01585940
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DOI: https://doi.org/10.1007/BF01585940