Convergence of a short-step primal-dual algorithm based on the Gauss-Newton direction (Q2570863)
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scientific article; zbMATH DE number 2220742
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| English | Convergence of a short-step primal-dual algorithm based on the Gauss-Newton direction |
scientific article; zbMATH DE number 2220742 |
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Convergence of a short-step primal-dual algorithm based on the Gauss-Newton direction (English)
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31 October 2005
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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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convergence
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approximate path-following
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interior-point primal-dual algorithm
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semidefinite programs
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Gauss-Newton direction
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strict complementarity
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0.8399335741996765
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0.8399335741996765
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0.8167394399642944
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0.8040325045585632
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0.7864919900894165
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