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New Interior-Point Algorithm for Linear Optimization Based on a Universal Tangent Direction

Author

Listed:
  • E. Nagy, Marianna
  • Illés, Tibor
  • Nesterov, Yurii
  • Rigó, Petra Renáta

Abstract

In this paper, we suggest a new interior-point method for linear optimization, based on the idea of Parabolic Target Space. Our method can start at any strictly feasible primal-dual pair and go directly towards a solution by a predictor-corrector scheme. Each iteration needs inversion of a matrix in small dimension. The worst-case upper bound for the number of matrix factorizations is

Suggested Citation

  • E. Nagy, Marianna & Illés, Tibor & Nesterov, Yurii & Rigó, Petra Renáta, 2024. "New Interior-Point Algorithm for Linear Optimization Based on a Universal Tangent Direction," Corvinus Economics Working Papers (CEWP) 2024/05, Corvinus University of Budapest.
    • Handle: RePEc:cvh:coecwp:2024/05
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    File URL: https://unipub.lib.uni-corvinus.hu/10470/
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    More about this item

    Keywords

    linear optimization; interior-point algorithms; parabolic target space; universal tangent direction;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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