Global convergence of affine scaling methods for degenerate linear programming problems

Global convergence of affine scaling methods for degenerate linear programming problems

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Article ID: iaor19921519
Country: Netherlands
Volume: 52
Issue: 3
Start Page Number: 377
End Page Number: 404
Publication Date: Dec 1991
Journal: Mathematical Programming
Authors:
Abstract:

This paper shows the global convergence of the affine scaling methods without assuming any condition on degeneracy. The behavior of the method near degenerate faces is analyzed in detail on the basis of the equivalence between the affine scaling methods for homogeneous LP problems and Karmarkar's method. It is shown that the step-size equ1, where the displacement vector is normalized with respect to the distance in the scaled space, is sufficient to guarantee the global convergence of the affine scaling methods.

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