Interior-point method: Difference between revisions

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== Potential-reduction methods ==
For potential-reduction methods, the problem is presented in the ''conic form'':<ref name=":0" />{{Rp|___location=Sec.5}} <blockquote>'''minimize ''c''<sup>T</sup>''x'' s.t. ''x'' in ''{b+L} K''''', </blockquote>where ''b'' is a vector in R<sup>''n''</sup>, L is a [[linear subspace]] in R<sup>''n''</sup> (so ''b''+''L'' is an [[affine plane]]), and ''K'' is a closed pointed [[convex cone]] with a nonempty interior. Every convex program can be converted to the conic form. To use the potential-reduction method (specifically, the extension of [[Karmarkar's algorithm]] to convex programming), we need the following assumptions:<ref name=":0" />{{Rp|___location=Sec.6}}
 
* A. The feasible set ''{b+L} K'' is bounded, and intersects the interior of the cone ''K''.
* B. We are given in advance a strictly-feasible solution ''x''^, that is, a feasible solution in the interior of ''K''.
* C. We know in advance the optimal objective value, c*, of the problem.
* D. We are given an ''M''-logarithmically-homogeneous [[self-concordant barrier]] ''F'' for the cone ''K''.
 
Assumptions A, B and D are needed in most interior-point methods. Assumption C is specific to Karmarkar's approach; it can be alleviated by using a "sliding objective value". It is possible to further reduce the program to the ''Karmarkar format'':<blockquote>'''minimize ''s''<sup>T</sup>''x'' s.t. ''x'' in ''M K'' and ''e''<sup>T</sup>''x'' = 1''' </blockquote>where ''M'' is a [[linear subspace]] of in R<sup>''n''</sup>, and the optimal objective value is 0.
 
The method is based on the following [[scalar potential]] function:<blockquote>''v''(''x'') = ''F''(''x'') + ''M'' ln (''s''<sup>T</sup>''x'')</blockquote>where ''F'' is the ''M''-self-concordant barrier for the feasible cone. It is possible to prove that, when ''x'' is strictly feasible and ''v''(''x'') is very small (- very negative), ''x'' is approximately-optimal. The idea of the potential-reduction method is to modify ''x'' such that the potential at each iteration drops by at least a fixed constant ''X'' (specifically, ''X''=1/3-ln(4/3)). This implies that, after ''i'' iterations, the difference between objective value and the optimal objective value is at most ''V'' * exp(-''i X'' / ''M''), where ''V'' is a data-dependent constant. Therefore, the number of Newton steps required for an ''ε''-approximate solution is at most <math>O(1) \cdot M \cdot \ln\left(\frac{V}{\varepsilon} + 1\right)+1 </math>.