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121
Inequality constrained minimization
minimize f0(x)
subject to fi(x) 0, i = 1, . . . , m (1)
Ax = b
approximation improves as t
5
3 2 1 0 1
u
Interior-point methods 124
logarithmic barrier function
m
X
(x) = log(fi(x)), dom = {x | f1(x) < 0, . . . , fm(x) < 0}
i=1
m
X 1
(x) = fi(x)
i=1
f i (x)
m m
X 1 X 1
2(x) = 2
f i (x)f i (x) T
+ 2
fi(x)
f (x)
i=1 i i=1
fi(x)
(for now, assume x(t) exists and is unique for each t > 0)
central path is {x(t) | t > 0}
minimize cT x
subject to aTi x bi, i = 1, . . . , 6
x(10)
x
T T
hyperplane c x = c x (t) is tangent to
level curve of through x(t)
p g((t), (t))
= L(x(t), (t), (t))
= f0(x(t)) m/t
m
X
f0(x) + ifi(x) + AT = 0
i=1
m
X
F0(x(t)) + Fi(x(t)) = 0
i=1
3c
t=1 t=3
log(m/(t(0)))
log
centering problem
102 140
Newton iterations
120
0
10
duality gap
100
102 80
60
4
10
40
106 = 50 = 150 =2 20
0
0 20 40 60 80 0 40 80 120 160 200
Newton iterations
102
100
duality gap
102
104
106 = 150 = 50 =2
0 20 40 60 80 100 120
Newton iterations
minimize cT x
subject to Ax = b, x0
35
Newton iterations
30
25
20
15 1
10 102 103
m
fi(x) 0, i = 1, . . . , m, Ax = b (2)
minimize (over x, s) s
subject to fi(x) s, i = 1, . . . , m (3)
Ax = b
minimize 1T s
subject to s 0, fi(x) si, i = 1, . . . , m
Ax = b
40 40
number
number
20 20
0 0
1 0.5 0 0.5 1 1.5 1 0.5 0 0.5 1 1.5
bi aTi xmax bi aTi xsum
Newton iterations
100
80 Infeasible Feasible
60
40
20
0
1 0.5 0 0.5 1
Newton iterations
Newton iterations
100 100
80 80
60 60
40 40
20 20
0 0
100 102 104 106 106 104 2
100
10
number of iterations roughly proportional to log(1/||)
second condition
(0)
log(m/(t )) m( 1 log )
#Newton iterations N = +c
log
5 104
4 104
figure shows N for typical values of , c,
3 104
m
N
4 m = 100, = 105
2 10 t(0)
1 104
0
1 1.1 1.2
for = 1 + 1/ m:
m/t(0)
N =O m log
number of Newton iterations for fixed gap reduction is O( m)
minimize f0(x)
subject to fi(x) Ki 0, i = 1, . . . , m
Ax = b
examples
Pn
nonnegative orthant K = Rn+: (y) = i=1 log yi , with degree = n
positive semidefinite cone K = Sn+:
(Y ) = log det Y ( = n)
2
(y) = log(yn+1 y12 yn2 ) ( = 2)
(y) K 0, y T (y) =
Pn
nonnegative orthant Rn+: (y) = i=1 log yi
(Y ) = Y 1, tr(Y (Y )) = n
m
X
(x) = i(fi(x)), dom = {x | fi(x) Ki 0, i = 1, . . . , m}
i=1
1 w
i(t) = i(fi(x(t))),
(t) =
t t
m
X
f0(x(t)) g((t), (t)) = (1/t) i
i=1
minimize cT x Pn
subject to F (x) = i=1 xiFi + G 0
maximize tr(GZ)
subject to tr(FiZ) + ci = 0, i = 1, . . . , n
Z0
P
only difference is duality gap m/t on central path is replaced by i i /t
Newton iterations
120
duality gap
0
10
102 80
104 40
106 = 50 = 200 =2
0
0 20 40 60 80 20 60 100 140 180
Newton iterations
100 100
102
60
4
10
106 = 150 = 50 =2 20
0 20 40 60 80 100 0 20 40 60 80 100 120
Newton iterations
Interior-point methods 1230
family of SDPs (A Sn, x Rn)
minimize 1T x
subject to A + diag(x) 0
35
Newton iterations
30
25
20
15
101 102 103
n