Convergence analysis of the inexact infeasible interior-point method for linear optimization (Q1028608): Difference between revisions
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English | Convergence analysis of the inexact infeasible interior-point method for linear optimization |
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Convergence analysis of the inexact infeasible interior-point method for linear optimization (English)
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6 July 2009
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This article studies the use of a primal-dual interior point method for solving large scale linear programs. The article begins with a presentation of the background to this problem and an overview of the existing literature, including the use of Preconditioned Conjugate Gradients (PCG) for inexact infeasible path-following algorithms. In the second section the convergence properties of the PCG method are presented. The third section focuses on the residual of the inexact Newton method which then leads to the study of the convergence properties of the proposed inexact infeasible path-following algorithm. Several interesting theorems and lemmas are presented and proven in this section. The article concludes with a section containing the results of numerical experimentation and a list of relevant references.
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preconditioned conjugate gradients
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indefinite system
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