Title :
Convergence analysis of an interior point method in convex programming, regular constraint case
Author :
Lin, Chin-Yee ; Fan, Michael K H
Author_Institution :
Sch. of Electr. & Comput. Eng., Georgia Inst. of Technol., Atlanta, GA, USA
Abstract :
We study the convergence properties of a previously proposed algorithm in the context of solving a class of smooth nonlinear convex optimization problems. With some mild assumptions, it is shown that the algorithm has global convergence with guaranteed accuracy upon termination. Further, an upper bound for the local rate of convergence is derived. It rigorously justifies the efficiency of the algorithm in spite of the fact that the bound is in general conservative
Keywords :
constraint theory; convergence of numerical methods; convex programming; nonlinear programming; convergence analysis; convex programming; interior point method; nonlinear convex optimization; upper bound; Algorithm design and analysis; Computer aided software engineering; Constraint optimization; Convergence; Linear matrix inequalities; Optimization methods; Upper bound;
Conference_Titel :
Decision and Control, 1995., Proceedings of the 34th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
0-7803-2685-7
DOI :
10.1109/CDC.1995.480238
