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On the Superlinear Convergence Order of the Logarithmic Barrier Algorithm

  • Jean-Pierre Dussault
  • Abdellatif Elafia
Article

Abstract

Since the pioneering work of Karmarkar, much interest was directed to penalty algorithms, in particular to the log barrier algorithm. We analyze in this paper the asymptotic convergence rate of a barrier algorithm when applied to non-linear programs. More specifically, we consider a variant of the SUMT method, in which so called extrapolation predictor steps allowing reducing the penalty parameter rk +1}<rk are followed by some Newton correction steps. While obviously related to predictor-corrector interior point methods, the spirit differs since our point of view is biased toward nonlinear barrier algorithms; we contrast in details both points of view. In our context, we identify an asymptotically optimal strategy for reducing the penalty parameter r and show that if rk+1=r k α with α < 8/5, then asymptotically only 2 Newton corrections are required, and this strategy achieves the best overall average superlinear convergence order (∼1.1696). Therefore, our main result is to characterize the best possible convergence order for SUMT type methods.

logarithmic barrier penalty algorithms interior point methods 

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Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  • Jean-Pierre Dussault
    • 1
  • Abdellatif Elafia
    • 2
  1. 1.Professeur titulaire, département de Mathématiques et InformatiqueUniversité de SherbrookeSherbrooke (Québec)Canada
  2. 2.Département de Mathématiques et InformatiqueUniversité de SherbrookeSherbrooke (Québec)Canada

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