Iterative linear programming solution of convex programs
Newton-type methods (49M15) Numerical mathematical programming methods (65K05) Linear programming (90C05) Convex programming (90C25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Methods of successive quadratic programming type (90C55)
An iterative linear programming algorithm for the solution of the convex programming problem is proposed. The algorithm partially solves a sequence of linear programming subproblems whose solution is shown to converge quadratically, superlinearly, or linearly to the solution of the convex program, depending on the accuracy to which the subproblems are solved. The given algorithm is related to inexact Newton methods for the nonlinear complementarity problem. Preliminary results for an implementation of the algorithm are given.
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