Article ID: | iaor20001078 |
Country: | Germany |
Volume: | 49 |
Issue: | 1 |
Start Page Number: | 149 |
End Page Number: | 169 |
Publication Date: | Jan 1999 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Vial J.-P., Goffin J.-L. |
We analyze the two cut generation scheme in the analytic center cutting plane method. We propose an optimal updating direction when the two cuts are central. The direction is optimal in the sense that it maximizes the product of the new slacks within the trust region defined by Dikin's ellipsoid. We prove convergence in