Abstract
In this paper, we propose a primal-dual second-order corrector interior point algorithm for linear programming problems. At each iteration, the method computes a corrector direction in addition to the Ai–Zhang direction [Ai and Zhang in SIAM J Optim 16:400–417 (2005)], in an attempt to improve performance. The corrector is multiplied by the square of the step-size in the expression of the new iterate. We prove that the use of the corrector step does not cause any loss in the worst-case complexity of the algorithm. To our best knowledge, this is the first wide neighborhood second-order corrector algorithm enjoyed the low iteration bound of \({O(\sqrt{n}L)}\), the same as the best known complexity results for interior point methods.
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Liu, C., Liu, H. & Cong, W. An \({O(\sqrt{n}L)}\) iteration primal-dual second-order corrector algorithm for linear programming. Optim Lett 5, 729–743 (2011). https://doi.org/10.1007/s11590-010-0242-6
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DOI: https://doi.org/10.1007/s11590-010-0242-6