On the convergence rate of the duality gap in a symmetric primal-dual potential reduction algorithm

  • Authors:

  • Jishan Zhu;Siming Huang

  • Affiliations:

  • Department of Management Science, University of Iowa, Iowa City, IA, USA;Department of Management Science, University of Iowa, Iowa City, IA, USA

  • Venue:
  • Operations Research Letters
  • Year:
  • 1992

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Abstract

In this short note, we prove that the global convergence rate of the duality gap in a symmetric primal-dual potential algorithm for linear programming, without line search, is no better than linear. More specifically, the convergence rate is no better than (1 - @t/@/n), where @t is a number between zero and one.