一类线性与框式约束凸规划问题的原始-对偶内点算法

A Primal-dual Interior Point Algorithm for a Class of Convex Programming Problem with Linear and Box Constraints

本文对一类具有线性和框式约束的凸规划问题给出了一个原始-对偶内点算法,该算法可在任一原始-对偶可行内点启动,并且全局收敛,当初始点靠近中心路径时,算法成为中心路径跟踪算法。数值实验表明,算法对求解大型的这类问题是有效的。

In this paper , we present a primal-dual interior point algorithm for a class of convex programming prob-lem with linear and box constrains .The algorithm can be started at any primal-dual feasible interior point and admits the global convergence .When the initial point is close to the central path , it becomes a central path-following algorithm .Numerical experiments show the proposed algorithm is effective for the large scale problems .