对称锥规划的Mehrotra型预估-矫正算法的多项式复杂性

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  • School of Mathematics and Statistics, Henan University of Science and Technology
LIU Chang-he(1980-), male, native of Zhoukou, Henan, a lecturer of Henan University of Science and Technology, Ph.D., engages in optimization; SHANG You-lin(corresponding author)(1963-), male, native of Luoyang, Henan, a professor of Henan University of Science and Technology, Ph.D., engages in optimization and control; LI Zhen-guo(1964-), male, native of Luoyang, Henan, an associate professor of Henan University of Science and Technology, engages in operations research.

收稿日期: 2014-05-16

  网络出版日期: 2020-11-19

基金资助

Supported by the National Natural Science Foundation of China(11471102,61301229); Supported by the Natural Science Foundation of Henan University of Science and Technology(2014QN039);

Polynomial Complexity Bounds of Mehrotra-type Predictor-corrector Algorithms for Linear Programming over Symmetric Cones

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  • School of Mathematics and Statistics, Henan University of Science and Technology
LIU Chang-he(1980-), male, native of Zhoukou, Henan, a lecturer of Henan University of Science and Technology, Ph.D., engages in optimization; SHANG You-lin(corresponding author)(1963-), male, native of Luoyang, Henan, a professor of Henan University of Science and Technology, Ph.D., engages in optimization and control; LI Zhen-guo(1964-), male, native of Luoyang, Henan, an associate professor of Henan University of Science and Technology, engages in operations research.

Received date: 2014-05-16

  Online published: 2020-11-19

Supported by

Supported by the National Natural Science Foundation of China(11471102,61301229); Supported by the Natural Science Foundation of Henan University of Science and Technology(2014QN039);

摘要

We establish polynomial complexity bounds of the Mehrotra-type predictorcorrector algorithms for linear programming over symmetric cones. We first slightly modify the maximum step size in the predictor step of the safeguard based Mehrotra-type algorithm for linear programming, that was proposed by Salahi et al[18]. Then, using the machinery of Euclidean Jordan algebras, we extend the modified algorithm to symmetric cones. Based on the Nesterov-Todd direction, we obtain O(r log ε-1) iteration complexity bound of this algorithm, where r is the rank of the Jordan algebras and ε is the required precision. We also present a new variant of Mehrotra-type algorithm using a new adaptive updating scheme of centering parameter and show that this algorithm enjoys the same order of complexity bound as the safeguard algorithm. We illustrate the numerical behaviour of the methods on some small examples. 

本文引用格式

刘长河, 尚有林, 李振国 . 对称锥规划的Mehrotra型预估-矫正算法的多项式复杂性[J]. 数学季刊, 2015 , 30(4) : 475 -494 . DOI: 10.13371/j.cnki.chin.q.j.m.2015.04.001

Abstract

We establish polynomial complexity bounds of the Mehrotra-type predictorcorrector algorithms for linear programming over symmetric cones. We first slightly modify the maximum step size in the predictor step of the safeguard based Mehrotra-type algorithm for linear programming, that was proposed by Salahi et al[18]. Then, using the machinery of Euclidean Jordan algebras, we extend the modified algorithm to symmetric cones. Based on the Nesterov-Todd direction, we obtain O(r log ε-1) iteration complexity bound of this algorithm, where r is the rank of the Jordan algebras and ε is the required precision. We also present a new variant of Mehrotra-type algorithm using a new adaptive updating scheme of centering parameter and show that this algorithm enjoys the same order of complexity bound as the safeguard algorithm. We illustrate the numerical behaviour of the methods on some small examples. 
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