A PRIMAL DUAL INFEASIBLE-INTERIOR-POINT ALGORITHM FOR LINEAR-PROGRAMMING

As in many primal-dual interior-point algorithms, a primal-dual infeasible-interior-point algorithm chooses a new point along the Newton direction towards a point on the central trajectory, but it does not confine the iterates within the feasible region. This paper proposes a step length rule with which the algorithm takes large distinct step lengths in the primal and dual spaces and enjoys the global convergence.