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Quadratic convergence in a primal-dual method. (English) Zbl 0794.90034
Summary: We show that the Mizuno-Todd-Ye \(O(\sqrt n L)\) iteration predictor- corrector primal-dual interior-point algorithm for linear programming is quadratically convergent. Our proof does not assume that the problems be nondegenerate. We do not assume that the iterate generated by the algorithm be convergent, an assumption common to all previous asymptotic convergence analysis.

MSC:
90C05 Linear programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
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