《《1998 An interior point method》.pdf

Mathematical Programming 81 (1998) 77-87 An interior point method, based on rank-1 updates, for linear programming Jos F. Sturm 1, Shuzhong Zhang * Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands Received 15 November 1995;revised manuscript received 3 December 1996 Abstract We propose a polynomial time primal dual potential reduction algorithm for linear pro- gramming. The algorithm generates sequences d k and v k rather than a primal-dual interior point (xk,sk), where d~ : ~ / ) ~ and v~ = ~ for i = 1,2,... ,n. Only one element of d k is changed in each iteration, so that the work per iteration is bounded by O(mn) using rank-1 updating techniques. The usual primal-dual iterates x k and s k are not needed explicitly in the algorithm, whereas d k and v k are iterated so that the interior primal-dual solutions can always be recovered by aforementioned relations between (xk, sk) and (dk, vk) with improving primal~tual potential function values. Moreover, no approximation of d k is needed in the computation of projection directions. © 1998 The Mathematical Programming Society, Inc. Published by Elsevier Science B.V. Keywords: Linear programming; Interior point method; Potential function 1. Introduction In his seminal paper [1], K a r m a r k a r proposed a projective potential reduction method that solves linear programs in O(nL) main iterations, where n stands for the number of inequality constraints, and L is the input length of the problem. A sin- gle iteration