In this paper we present an extension to SDP of the well known infeasible Interior Point method for linear programming of Kojima, Megiddo and Mizuno (A primal-dual infeasible-interior-point algorithm for Linear Programming, Math. Progr., 1993). The extension developed here allows the use of inexact search directions; i.e., the linear systems defining the search directions can be solved with an accuracy that increases as the solution is approached. A convergence analysis is carried out and the global convergence of the method is proved.
Convergence analysis of an Inexact Infeasible Interior Point method for Semidefinite Programming / S. BELLAVIA; S. PIERACCINI. - In: COMPUTATIONAL OPTIMIZATION AND APPLICATIONS. - ISSN 0926-6003. - STAMPA. - 29:(2004), pp. 289-313. [10.1023/B:COAP.0000044183.43473.34]
Convergence analysis of an Inexact Infeasible Interior Point method for Semidefinite Programming
BELLAVIA, STEFANIA;
2004
Abstract
In this paper we present an extension to SDP of the well known infeasible Interior Point method for linear programming of Kojima, Megiddo and Mizuno (A primal-dual infeasible-interior-point algorithm for Linear Programming, Math. Progr., 1993). The extension developed here allows the use of inexact search directions; i.e., the linear systems defining the search directions can be solved with an accuracy that increases as the solution is approached. A convergence analysis is carried out and the global convergence of the method is proved.File | Dimensione | Formato | |
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