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A primal affine-scaling algorithm for constrained convex programs

Clovis C. Gonzaga (clovis***at***mtm.ufsc.br)
Luiz A. Carlos (clovis***at***mtm.ufsc.br)

Abstract: The affine-scaling algorithm was initially developed for linear programming problems. Its extension to problems with a nonlinear objective performs at each iteration a scaling followed by a line search along the steepest descent direction. In this paper we prove that any accumulation point generated by this algorithm when applied to a convex function is an optimal solution, under a primal non-degeneracy hypothesis and very general line search procedures.

Keywords: Interior point methods, convex programming, affine-scaling.

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: Report ES-238/90, COPPE - Federal University of Rio de Janeiro, 1990. Revised in September 2002.

Download: [Postscript]

Entry Submitted: 09/10/2002
Entry Accepted: 09/10/2002
Entry Last Modified: 09/10/2002

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