Convergence Analysis of Inexact Infeasible Interior Point Method for Linear Optimization

In this paper we present the convergence analysis of the inexact infeasible path-following(IIPF) interior point algorithm. In this algorithm the preconditioned conjugate gradient method is used to solve the reduced KKT system (the augmented system). The augmented system is preconditioned by using a block triangular matrix. The KKT system is solved approximately. Therefore, it becomes … Read more