Convergence of a Short-step Primal-dual Algorithm Based on the Gauss-newton Direction

نویسندگان

  • SERGE KRUK
  • HENRY WOLKOWICZ
چکیده

We prove the theoretical convergence of a short-step, approximate pathfollowing, interior-point primal-dual algorithm for semidefinite programs based on the Gauss-Newton direction obtained from minimizing the norm of the perturbed optimality conditions. This is the first proof of convergence for the Gauss-Newton direction in this context. It assumes strict complementarity and uniqueness of the optimal solution as well as an estimate of the smallest singular value of the Jacobian.

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تاریخ انتشار 2003