A three step quadratically convergent version of primal affine scaling method

A three step quadratically convergent version of primal affine scaling method

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Article ID: iaor19981918
Country: Japan
Volume: 40
Issue: 3
Start Page Number: 310
End Page Number: 328
Publication Date: Sep 1997
Journal: Journal of the Operations Research Society of Japan
Authors:
Keywords: engineering, computational analysis
Abstract:

In this paper we consider the primal affine scaling method and show that, asymptotically, a step selection strategy exists which can be viewed as a predictor–corrector method. We investigate two step selection strategies. In the first, one corrector step is taken between each pair of predictor steps, and we call this the 2-step method. In the other two such steps are taken, which we call the 3-step method. We show that the 2-step method attains a superlinear rate of 1.5 while the 3-step method attains a quadratic convergence rate. This improves upon the work of Tsuchiya and Monteiro, who obtained a 2-step rate of 1.3.

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