Abstract
A local analysis of the Iri-Imai algorithm for linear programming is given to demonstrate quadratic convergence under degeneracy. Specifically, we show that the algorithm with an exact line search either terminates after a finite number of iterations yielding a point on the set of optimal solutions or converges quadratically to one of the relative analytic centers of the faces of the set of optimal solutions including vertices. Mostly, the sequence generated falls into one of the optimal vertices, and it is rare that the sequence converges to the relative analytic center of a face whose dimension is greater than or equal to one.
Similar content being viewed by others
References
Tsuchiya, T.,Local Analysis of the Iri-Imai Method for Degenerate Linear Programming Problems, Presented at the Poster Session of the 3rd SIAM Conference on Optimization, Boston, Massachusetts, 1989.
Iri, M. andImai, H.,A Multiplicative Barrier Function Method for Linear Programming, Algorithmica, Vol. 1, pp. 455–482, 1986.
Karmarkar, N.,A New Polynomial-Time Algorithm for Linear Programming, Combinatorica, Vol. 4, pp. 373–395, 1984.
Güler, O., andYe, Y.,Convergence Behavior of Some Interior-Point Algorithms, Technical Report, Department of Management Sciences, University of Iowa, Ames, Iowa, 1991.
Zhang, S., andShi, M.,On the Polynomial Property of the Iri-Imai New Algorithm for Linear Programming, Technical Report, Fudan University, Shanghai, China, 1988.
Iri, M.,On the Polynomiality of the Iri-Imai Algorithm, Part 2, Paper Presented at the Montly Research Meeting, Research Association of Mathematical Programming of the Operations Research Society of Japan, Tokyo, Japan, 1990 (in Japanese).
Imai, H.,On the Polynomiality of the Multiplicative Penalty Function Method for Linear Programming and Related Inscribed Ellipsoids, Transactions of the Institute of Electronics, Information, and Communication Engineers of Japan, Vol. 74E, pp. 669–671, 1991.
Tsuchiya, T., andTanabe, K.,Local Convergence Properties of New Methods in Linear Programming, Journal of the Operations Research Society of Japan, Vol. 33, pp. 22–45, 1990.
Sasakawa, T.,A Study on Interior-Point Algorithms for Linear Programming, MS Thesis, Department of Information Physics and Mathematical Engineering, University of Tokyo, Tokyo, Japan, 1988 (in Japanese).
Dikin, I. I.,Iterative Solution of Problems of Linear and Quadratic Programming, Soviet Mathematics Doklady, Vol. 8, pp. 674–675, 1967.
Barnes, E. R.,A Variation on Karmarkar's Algorithm for Solving Linear Programming Problems, Mathematical Programming, Vol. 36, pp. 174–182, 1986.
Vanderbei, R. J., et al.,A Modification of Karmarkar's Linear Programming Algorithm, Algorithmica, Vol. 1, pp. 395–407, 1986.
Sonnevend, G.,An Analytic Centre for Polyhedrons and New Classes of Global Algorithms for Linear (Smooth, Convex) Programming, Lecture Notes in Control and Information Sciences, Springer Verlag, New York, Vol. 84, pp. 866–876, 1985.
Yamashita, H.,A Polynomially and Quadratically Convergent Method for Linear Programming, Technical Report, Mathematical Systems, Shinjuku, Tokyo, Japan, 1986.
Schrijver, A.,Theory of Linear and Integer Programming, John Wiley and Sons, Chichester, England, 1986.
Tusuchiya, T.,Global Convergence Property of the Affine Scaling Methods for Primal Degenerate Linear Programming Problems, Mathematics of Operations Research, Vol. 17, pp. 527–557, 1992.
Imai, H.,Extensions of the Multiplicative Penalty Function Method for Linear Programming, Journal of the Operations Research Society of Japan, Vol. 30, pp. 160–180, 1987.
Author information
Authors and Affiliations
Additional information
Communicated by R. A. Tapia
This paper is based on Ref. 1.
The author thanks Professor Kunio Tanabe of the Institute of Statistical Mathematics for valuable comments as well as stimulating discussions.
Rights and permissions
About this article
Cite this article
Tsuchiya, T. Quadratic convergence of the Iri-Imai algorithm for degenerate linear programming problems. J Optim Theory Appl 87, 703–726 (1995). https://doi.org/10.1007/BF02192140
Issue Date:
DOI: https://doi.org/10.1007/BF02192140