A priori bounds on the condition numbers in interior-point methods

Florian Jarre(jarrehhu.de)

Abstract: Interior-point methods are known to be sensitive to ill-conditioning and to scaling of the data. This paper presents new asymptotically sharp bounds on the condition numbers of the linear systems at each iteration of an interior-point method for solving linear or semidefinite programs and discusses a stopping test which leads to a problem-independent ``a priori'' bound on the condition numbers.

Keywords: Condition number, interior-point method, stopping test.

Category 1: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Category 2: Linear, Cone and Semidefinite Programming (Linear Programming )

Citation: Technical Report, Universitaet Duesseldorf, 2015

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Entry Submitted: 08/07/2015
Entry Accepted: 08/07/2015
Entry Last Modified: 08/07/2015

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