A primal-dual infeasible-interior-point algorithm for linear programming

A primal-dual infeasible-interior-point algorithm for linear programming

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Article ID: iaor19942405
Country: Netherlands
Volume: 61
Issue: 3
Start Page Number: 263
End Page Number: 280
Publication Date: Sep 1993
Journal: Mathematical Programming (Series A)
Authors: , ,
Keywords: interior point methods
Abstract:

As in many primal-dual interior-point algorithms, a primal-dual infeasible-interior-point algorithm chooses a new point along the Newton direction towards a point on the central trajectory, but it does not confine the iterates within the feasible region. This paper proposes a step length rule with which the algorithm takes large distinct step lengths in the primal and dual spaces and enjoys the global convergence.

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