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A strong bound on the integral of the central path curvature and its relationship with the iteration-complexity of primal-dual path-following LP algorithms

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Abstract

The main goals of this paper are to: i) relate two iteration-complexity bounds derived for the Mizuno-Todd-Ye predictor-corrector (MTY P-C) algorithm for linear programming (LP), and; ii) study the geometrical structure of the LP central path. The first iteration-complexity bound for the MTY P-C algorithm considered in this paper is expressed in terms of the integral of a certain curvature function over the traversed portion of the central path. The second iteration-complexity bound, derived recently by the authors using the notion of crossover events introduced by Vavasis and Ye, is expressed in terms of a scale-invariant condition number associated with m × n constraint matrix of the LP. In this paper, we establish a relationship between these bounds by showing that the first one can be majorized by the second one. We also establish a geometric result about the central path which gives a rigorous justification based on the curvature of the central path of a claim made by Vavasis and Ye, in view of the behavior of their layered least squares path following LP method, that the central path consists of \({\mathcal{O}}(n^2)\) long but straight continuous parts while the remaining curved part is relatively “short”.

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Authors and Affiliations

  1. School of Industrial and Systems Engineering, Georgia Institute of Technology, 765 Ferst St., Atlanta, GA, 30332, USA

    Renato D. C. Monteiro

  2. The Institute of Statistical Mathematics, 4-6-7 Minami-Azabu, Minato-Ku, Tokyo, 106-8569, Japan

    Takashi Tsuchiya

Authors
  1. Renato D. C. Monteiro
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  2. Takashi Tsuchiya
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Correspondence to Renato D. C. Monteiro.

Additional information

R. D. C. Monteiro was supported in part by NSF Grants CCR-0203113 and CCF-0430644 and ONR grant N00014-05-1-0183. T. Tsuchiya was supported in part by Japan-US Joint Research Projects of Japan Society for the Promotion of Science “Algorithms for linear programs over symmetric cones” and the Grants-in-Aid for Scientific Research (C) 15510144 of Japan Society for the Promotion of Science.

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Monteiro, R.D.C., Tsuchiya, T. A strong bound on the integral of the central path curvature and its relationship with the iteration-complexity of primal-dual path-following LP algorithms. Math. Program. 115, 105–149 (2008). https://doi.org/10.1007/s10107-007-0141-5

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  • DOI: https://doi.org/10.1007/s10107-007-0141-5

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