一类线性约束凸规划问题的一个原始-对偶内点算法

摘要

In this paper, a primal-dual interior point algorithm is presented for a class of convex programming problems with linear constrains. It can be implemented at any primal-dual interior feasible point and reaches the global convergence. If the initial point is close to the central path, it becomes a central path-following algorithm. The results of numerical tests show the effectiveness of the algorithm.%　　对一类具有线性约束的凸规划问题给出了一个原始-对偶内点算法，该算法可在任一原始-对偶可行内点启动，并且全局收敛。当初始点靠近中心路径时，便成为中心路径跟踪算法。数值算例表明该算法是有效的。