Abstract
In this report we present an implementation of a new method for the solution of convex programming problems based on the use of a homotopy path leading to an optimal solution through analytic centers. With a number of numerical test results on linear programming problems we indicate that this method has a favorable convergence behaviour and a substantial acceleration can be achieved by using a suitable (higher than first or second order) extrapolation for following the homotopy path.
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© 1988 Springer-Verlag
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Jarre, F., Sonnevend, G., Stoer, J. (1988). An implementation of the method of analytic centers. In: Bensoussan, A., Lions, J.L. (eds) Analysis and Optimization of Systems. Lecture Notes in Control and Information Sciences, vol 111. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0042223
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DOI: https://doi.org/10.1007/BFb0042223
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