Article ID: | iaor19941141 |
Country: | Switzerland |
Volume: | 46/47 |
Issue: | 1/4 |
Start Page Number: | 443 |
End Page Number: | 482 |
Publication Date: | Dec 1993 |
Journal: | Annals of Operations Research |
Authors: | Tsuchiya T., Monteiro R.D.C., Wang Y. |
This paper presents a simplified and self-contained global convergence proof for the affine scaling algorithm applied to degenerate linear programming problems. Convergence of the sequence of dual estimates to the center of the optimal dual face is also proven. In addition, the authors give a sharp rate of convergence result for the sequence of objective function values. All these results are proved with respect to the long step version of the affine scaling algorithm in which they move a fraction