We wish to solve
min cT x
subject to
Ax b
m
X
log((aTi x bi ))
i=1
tcT x + (x)
x = zeros(n,1);
t = 1;
histobj=[];
NTTOL = 1e-10;
MAXITERS = 500;
% Inner loop
[val,g,H] = objective_barrier(t,x,A,b,c);
v = -H\g;
lambda = g*v;
% Newton step
% Newton decrement
end
% Display progress
obj = c*x;
histobj=[[histobj],[obj;niter;m/t]]; % Bookkeeeping
disp([obj: ,num2str(obj,%1.6e),; PDGap: , num2str(m/t,%1.2e), ;
number iterations: ,int2str(niter)]);
% Update
t = mu*t;
end
Plot results (more Matlab commands to produce the nice plot below)
PDGap = histobj(3,:); niter = histobj(2,:);
total_iter = cumsum(niter);
figure; semilogy(total_iter,PDgap,*);
10
mu = 2
mu = 50
mu = 150
10
10
Duality gap
10
10
10
10
10
10
10
20
40
60
80
100
120
140
Total Number of iterations
160
180
200
Figure 1: Plot of duality gap vs. total number of Newton iterations for = 2, 50, 150
160
140
120
100
80
60
40
20
20
40
60
80
100
mu
120
140
160
180
200
Figure 2: Trade-off between and the total number of Newton iterations needed to reduce the duality
gap from 100 to 104 . The optimization problem is a moderately small inequality constrained LP,
just as before. This shows that the method is not very sensitive to the value of provided 10
Figure 11.7 Progress of barrier method for three randomly generated standard form LPs of different dimensions, showing duality gap versus cumulative number of Newton steps. The number of variables in each problem is
n = 2m. Here too we see approximately linear convergence of the duality
gap, with a slight increase in the number of Newton steps required for the
larger problems.
The following figures are taken from our textbook (Boyd and Vandenberghe).
35
Newton iterations
PSfrag replacements
30
25
20
15 1
10
102
m
103
Figure 11.8 Average number of Newton steps required to solve 100 randomly
generated LPs of different dimensions, with n = 2m. Error bars show standard deviation, around the average value, for each value of m. The growth
in the number of Newton steps required, as the problem dimensions range
over a 100 : 1 ratio, is very small.
PSfrag replacements
602
11
Interior-point methods
duality gap
102
duality gap
100
102
104
106
0
PSfrag replacements
= 50 = 200
20
60
40
Newton iterations
=2
80
Figure 11.15 Progress of barrier method for an SOCP, showing duality gap
versus cumulative number of Newton steps.
Newton iterations
11.6
with
generalized
inequalities
with xProblems
R50 , m
= 50,
and Ai
R550 . The problem instance was randomly
generated, in such a way that the problem is strictly primal and dual feasible, and
has optimal value p! = 1. We start with a point x(0) on the central path, with a
duality gap of 140
100.
The barrier method is used to solve the problem, using the barrier function
120
m
!
"
#
100 (x) =
log (cTi x + di )2 #Ai x + bi #22 .
80
i=1
The centering problems are solved using Newtons method, with the same algorithm
60
parameters as in the examples of 11.3.2: backtracking parameters = 0.01, =
2
5
0.5, and a stopping
40 criterion (x) /2 10 .
Figure 11.15 shows the duality gap versus cumulative number of Newton steps.
20similar to those for linear and geometric programming, shown
The plot is very
in figures 11.4 and 11.6, respectively. We see an approximately constant number
0
of Newton steps required
per centering
step,
approximately
linear
80
120and therefore
0
40
160
200
convergence of the duality gap. For this example, too, the choice of has little
choice steps,
of the provided
parameter,isfor
small10
SOCP.
effectFigure
on the11.16
totalTrade-off
number in
ofthe
Newton
ataleast
or so. As in
The
vertical
axis
shows
the
total
number
of
Newton
steps
required
to
reduce
the examples for linear and geometric
programming, a reasonable choice of is in
the duality gap from 100 to 103 , and the horizontal axis shows .
the range 10 100, which results in a total number of Newton steps around 30 (see
figure 11.16).
with
variable
A small
SDPx R100 , and Fi S100 , G S100 . The problem instance was
generated randomly, in such a way that the problem is strictly primal and dual
Our next
example
is an
feasible,
with
p! = 1.
TheSDP
initial point is on the central path, with a duality gap
of 100.
T
minimize c$
x
We apply the barrier method with logarithmic
barrier function
(11.46)
n
603