Convergence of a short-step primal-dual algorithm based on the Gauss-Newton direction
We prove the theoretical convergence of a short-step, approximate path-following, interior-point primal-dual algorithm for semidefinite programs based on the Gauss-Newton direction obtained from minimizing the norm of the perturbed optimality conditions. This is the first proof of convergence for th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2003-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X03301081 |
| Summary: | We prove the theoretical convergence of a short-step, approximate
path-following, interior-point primal-dual algorithm for
semidefinite programs based on the Gauss-Newton direction
obtained from minimizing the norm of the perturbed optimality
conditions. This is the first proof of convergence for the
Gauss-Newton direction in this context. It assumes strict
complementarity and uniqueness of the optimal solution as well as
an estimate of the smallest singular value of the Jacobian. |
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| ISSN: | 1110-757X 1687-0042 |