A two-cut approach in the analytic center cutting plane method

A two-cut approach in the analytic center cutting plane method

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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: ,
Abstract:

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 O*(n22) calls to the oracle and show that the recovery of a new analytic center can be done in O(1) primal damped Newton steps.

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