Iterative linear programming solution of convex programs

  • M. C. Ferris
Contributed Papers

Abstract

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.

Key Words

Iterative linear programming complementarity problems inexact Newton methods finite termination 

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Copyright information

© Plenum Publishing Corporation 1990

Authors and Affiliations

  • M. C. Ferris
    • 1
  1. 1.Computer Sciences DepartmentUniversity of WisconsinMadison

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