On the complexity of a combined homotopy interior method for convex programming

Authors:
Bo Yu;Qing Xu;Guochen Feng
Affiliations:
Department of Applied Mathematics, Dalian University of Technology, Dalian, Liaoning 116024, PR China;Department of Management Science, School of Management, Fudan University, Shanghai 200433, PR China;School of Mathematical Science, Jilin University, Changchun, Jilin 130012, PR China
Venue:
Journal of Computational and Applied Mathematics
Year:
2007

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Abstract

In [G.C. Feng, Z.H. Lin, B. Yu, Existence of an interior pathway to a Karush-Kuhn-Tucker point of a nonconvex programming problem, Nonlinear Anal. 32 (1998) 761-768; G.C. Feng, B. Yu, Combined homotopy interior point method for nonlinear programming problems, in: H. Fujita, M. Yamaguti (Eds.), Advances in Numerical Mathematics, Proceedings of the Second Japan-China Seminar on Numerical Mathematics, Lecture Notes in Numerical and Applied Analysis, vol. 14, Kinokuniya, Tokyo, 1995, pp. 9-16; Z.H. Lin, B. Yu, G.C. Feng, A combined homotopy interior point method for convex programming problem, Appl. Math. Comput. 84 (1997) 193-211.], a combined homotopy was constructed for solving non-convex programming and convex programming with weaker conditions, without assuming the logarithmic barrier function to be strictly convex and the solution set to be bounded. It was proven that a smooth interior path from an interior point of the feasible set to a K-K-T point of the problem exists. This shows that combined homotopy interior point methods can solve the problem that commonly used interior point methods cannot solve. However, so far, there is no result on its complexity, even for linear programming. The main difficulty is that the objective function is not monotonically decreasing on the combined homotopy path. In this paper, by taking a piecewise technique, under commonly used conditions, polynomiality of a combined homotopy interior point method is given for convex nonlinear programming.