On the convergence of the method of analytic centers when applied to convex quadratic programs

On the convergence of the method of analytic centers when applied to convex quadratic programs

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Article ID: iaor19921193
Country: Netherlands
Volume: 49
Issue: 3
Start Page Number: 341
End Page Number: 358
Publication Date: Jan 1991
Journal: Mathematical Programming
Authors:
Keywords: programming: linear
Abstract:

equ1This work examines the method of analytic centers of Sonnevend when applied to solve generalized convex quadratic programs - where also the constraints are given by convex quadratic functions. It establishes the existence of a two-sided ellipsoidal approximation for the set of feasible points around its center and show, that a simple (zero order) algorithm starting from an initial center of the feasible set generates a sequence of strictly feasible points whose objective function values converge to the optimal value. Concerning the speed of convergence it is shown that an upper bound for the gap in between the objective function value and the optimal value is reduced by a factor of equ2with equ3iterations where m is the number of inequality constraints. Here, each iteration involves the computation of one Newton step. The bound of equ4Newton iterations to guarantee an error reduction by a factor of equ5in the objective functions is as good as the one currently given for linear programs. However, the algorithm considered here is of theoretical interest only, full efficiency of the method can only be obtained when accelerating it by some (higher order) extrapolation scheme, see e.g. the work of Jarre, Sonnevend and Stoer.

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