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: | Megiddo Nimrod, Kojima Masakazu, Mizuno Shinji |
Keywords: | interior point methods |
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.