Primal-dual symmetry and scale invariance of interior-point algorithms forconvex optimization

Authors
Citation
L. Tuncel, Primal-dual symmetry and scale invariance of interior-point algorithms forconvex optimization, MATH OPER R, 23(3), 1998, pp. 708-718
Citations number
26
Categorie Soggetti
Mathematics
Journal title
MATHEMATICS OF OPERATIONS RESEARCH
ISSN journal
0364765X → ACNP
Volume
23
Issue
3
Year of publication
1998
Pages
708 - 718
Database
ISI
SICI code
0364-765X(199808)23:3<708:PSASIO>2.0.ZU;2-2
Abstract
We present a definition of symmetric primal-dual algorithms for convex opti mization problems expressed in the conic form. After describing a generaliz ation of the v-space approach for such optimization problems, we show that a symmetric v-space approach can be developed for a convex optimization pro blem in the conic form if and only if the underlying cone is homogeneous an d self-dual. We provide an alternative definition of self-scaled barriers a nd then conclude with a discussion of the scalings of the variables which k eep the underlying convex cone invariant.