In this paper we show that if all agents are equipped with discrete concave production functions, then a feasible price allocation pair is a market equilibrium if and only if it solves a linear programming problem, similar to, but perhaps simpler than the one invoked in Yang (2001). Using this result, but assuming discrete concave … Read more
This paper addresses the role of centrality in the implementation of interior point methods. Theoretical arguments are provided to justify the use of a symmetric neighbourhood. These are translated into computational practice leading to a new insight into the role of re-centering in the implementation of interior point methods. Arguments are provided to show that … Read more
An appealing feature of interior methods for linear programming is that the number of iterations required to solve a problem tends to be relatively insensitive to the choice of initial point. This feature has the drawback that it is difficult to design interior methods that efficiently utilize information from an optimal solution to a “nearby” … Read more
The main goals of this paper are to: i) relate two iteration-complexity bounds associated with the Mizuno-Todd-Ye predictor-corrector algorithm for linear programming (LP), and; ii) study the geometrical structure of the central path in the context of LP. The first forementioned iteration-complexity bound is expressed in terms of an integral introduced by Sonnevend, Stoer and … Read more
We define a variant of Anstreicher and Terlaky’s (1994) monotonic build-up (MBU) simplex algorithm for linear feasibility problems. Under a nondegeneracy assumption weaker than the normal one, the complexity of the algorithm can be given by $m\Delta$, where $\Delta$ is a constant determined by the input data of the problem and $m$ is the number … Read more
In \cite{SPT} the authors considered a variant of Mehrotra’s predictor-corrector algorithm that has been widely used in several IPMs based optimization packages. By an example they showed that this variant might make very small steps in order to keep the iterate in a certain neighborhood of the central path, that itself implies the inefficiency of … Read more
One perceived deficiency of interior-point methods in comparison to active set methods is their inability to efficiently re-optimize by solving closely related problems after a warmstart. In this paper, we investigate the use of a primal-dual penalty approach to overcome this problem. We prove exactness and convergence and show encouraging numerical results on a set … Read more
Support set invariancy sensitivity analysis deals with finding the range of the parameter variation where there are optimal solutions with the same positive variables for all parameter values throughout this range. This approach to sensitivity analysis has been studied for Linear Optimization (LO) and Convex Quadratic Optimization (CQO) problems, when they are in standard form. … Read more
It is well known that a wide-neighborhood interior-point algorithm for linear programming performs much better in implementation than those small-neighborhood counterparts. In this paper, we provide a unified way to enlarge the neighborhoods of predictor-corrector interior-point algorithms for linear programming. We prove that our methods not only enlarge the neighborhoods but also retain the so-far … Read more
We present a full-Newton step infeasible interior-point algorithm. It is shown that at most $O(n)$ (inner) iterations suffice to reduce the duality gap and the residuals by the factor $\frac1{e}$. The bound coincides with the best known bound for infeasible interior-point algorithms. It is conjectured that further investigation will improve the above bound to $O(\sqrt{n})$. … Read more