Chinese Quarterly Journal of Mathematics ›› 2015, Vol. 30 ›› Issue (4): 475-494.doi: 10.13371/j.cnki.chin.q.j.m.2015.04.001

    Next Articles

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

  

  1. School of Mathematics and Statistics, Henan University of Science and Technology
  • Received:2014-05-16 Online:2015-12-30 Published:2020-11-19
  • About author: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.
  • 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);

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. 

Key words: linear programming, symmetric cone, Euclidean Jordan algebra, interior-point methods, Mehrotra-type algorithm, polynomial complexity

CLC Number: