Download Interior Point Approach to Linear, Quadratic and Convex by D. den Hertog PDF

By D. den Hertog

This publication describes the quickly constructing box of inside aspect equipment (IPMs). an in depth research is given of path-following tools for linear programming, quadratic programming and convex programming. those equipment, which shape a subclass of inside aspect tools, keep on with the significant direction, that is an analytic curve outlined by means of the matter. quite easy and chic proofs for polynomiality are given. the idea is illustrated utilizing numerous specific examples. furthermore, an outline of alternative periods of IPMs is given. it really is proven that each one those equipment depend on an analogous concept because the path-following equipment: these kind of tools use the valuable direction implicitly or explicitly as a reference route to visit the optimal.
For experts in IPMs in addition to these looking an creation to IPMs. The e-book is offered to any mathematician with simple mathematical programming wisdom.

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Extra info for Interior Point Approach to Linear, Quadratic and Convex Programming: Algorithms and Complexity

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55) the theorem follows. 6, the total number of iterations turns out to be given by the following theorem. 4. 7 An upper bound for the total number of Newton iterations is given by 3) + 11] 4n/-lo [(1 _11 (On + 2yn 3() In ())2 -1:-. 4). 7 makes clear that to obtain an I:-optimal solution the algorithm needs • O( n In ~) Newton iterations for the long-step variant (0 < () < 1); • O(y'nln~) Newton iterations for the medium-step variant (() v> 0). = ;n, To obtain an optimal solution we have to take I: = 2- 2 £.

Since all yi lie in a bounded region6 and 8(Y,Il) = 0 if and only if y = y(Il), we have that all limit points of the sequence are y(Il)· Hence, the sequence of Newton iterates converges to Y(Il). 7 tells us that all yi lie in a certain level set, and since we assumed that the optimal set is bounded all level sets are bounded. 3. LINEAR PROGRAMMING 25 co < L8(yi,p,)2 i=O co < L82it1 i=O 82 < 1 - 82 ' o The following lemma gives an upper bound for the difference in objective function value in a nearly centered point y and y(p,).

In this case one full Newton step is sufficient to return to the vicinity of the new center. The following theorem gives an upper bound for the number of outer iterations. In the Logarithmic Barrier Algorithm we will use T = !. 2 After at most ! In 4nlt0 8 E outer iterations, the Logarithmic Barrier Algorithm ends up with a dual solution y such that z* - bT Y ::; E. Proof: The algorithm stops when ItK require = (1 - -Kln(l - 8) ~ Since 8 ::; -In(l - 8), this certainly holds if 8)K Ito ::; 4~. Taking logarithms we 4ntto In--.

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