Título:
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Existence, uniqueness and convergence of the regularized primal-dual central path
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Autor/a:
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Castro Pérez, Jordi; Cuesta Andrea, Jordi
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Otros autores:
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Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa; Universitat Politècnica de Catalunya. GNOM - Grup d'Optimització Numèrica i Modelització |
Abstract:
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In a recent work [J. Castro, J. Cuesta, Quadratic regularizations in an interior-point method for primal block-angular problems, Mathematical Programming, in press (doi:10.1007/s10107-010-0341-2)] the authors improved one of the most efficient interior-point approaches for some classes of block-angular problems. This was achieved by adding a quadratic regularization to the logarithmic barrier. This regularized barrier was shown to be self-concordant, thus fitting the general structural optimization interior-point framework. In practice, however, most codes implement primal dual path-following algorithms. This short paper shows that the primal-dual regularized central path is well defined, i.e., it exists, it is unique, and it converges to a strictly complementary primal dual solution. |
Materia(s):
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-Àrees temàtiques de la UPC::Matemàtiques i estadística -Mathematical analysis -Interior-point methods
Primal-dual central path
Path-following methods
Regularizations -Matemàtica aplicada -Classificació AMS::62 Statistics::62H Multivariate analysis |
Derechos:
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Tipo de documento:
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Artículo - Versión publicada Artículo |
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