A weighted logarithmic barrier interior-point method for linearly constrained optimization
DOI:
https://doi.org/10.24193/subbmath.2021.4.14Keywords:
Logarithmic barrier method, linearly constrained convex optimization, interior-point methods.Abstract
In this paper, a weighted logarithmic barrier interior-point method for solving the linearly convex constrained optimization problems is presented. Unlike the classical central-path, the barrier parameter associated with the perturbed barrier problems, is not a scalar but is a weighted positive vector. This modification gives a theoretical flexibility on its convergence and its numerical performance. In addition, this method is of a Newton descent direction and the computation of the step-size along this direction is based on a new efficient technique called the tangent method. The practical efficiency of our approach is shown by giving some numerical results.
Mathematics Subject Classification (2010): 90C30, 90C25, 90C51.
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