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Existence, uniqueness and convergence of the regularized primal-dual central path
Castro Pérez, Jordi; Cuesta Andrea, Jordi
Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa; Universitat Politècnica de Catalunya. GNOM - Grup d´Optimització Numèrica i Modelització
In a recent work [J. Castro, J. Cuesta, Quadratic regularizations in an interior-point method for primal block-angular problems, Mathematical Programming, in press (doi:10.1007/s10107-010-0341-2)] the authors improved one of the most efficient interior-point approaches for some classes of block-angular problems. This was achieved by adding a quadratic regularization to the logarithmic barrier. This regularized barrier was shown to be self-concordant, thus fitting the general structural optimization interior-point framework. In practice, however, most codes implement primal dual path-following algorithms. This short paper shows that the primal-dual regularized central path is well defined, i.e., it exists, it is unique, and it converges to a strictly complementary primal dual solution.
Àrees temàtiques de la UPC::Matemàtiques i estadística
Mathematical analysis
Interior-point methods Primal-dual central path Path-following methods Regularizations
Matemàtica aplicada
Classificació AMS::62 Statistics::62H Multivariate analysis
info:eu-repo/semantics/publishedVersion
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