Abstract
In this paper, we design and analyse an infeasible interior-point algorithm based on a simple function for linear optimization. The infeasible algorithm contains two types of search directions: the feasibility search direction and the centrality search direction. Both of the directions are determined by the simple function. The algorithm uses full step, thus no need to perform the line-search procedure. Although the proposed function is simple, as it will be shown, the induced infeasible algorithm enjoys the best-known iteration complexity for infeasible interior-point algorithm.
Acknowledgements
The research is supported by National Natural Science Foundation of China (No. 11071221, 11071158) and key disciplines of Shanghai Municipality Discipline Project (No. S30104).