Optimization: principles and algorithms, by Michel Bierlaire
restrictedSteps.m File Reference

Algorithm 18.2: Interior point algorithm with restricted steps. More...

Go to the source code of this file.

## Functions

function restrictedSteps (in A, in b, in c, in x0, in lambda0, in mu0, in eps, in theta)
Applies the interior point algorithm with restricted steps to solve

subject to

and

## Detailed Description

Algorithm 18.2: Interior point algorithm with restricted steps.

Implementation of algorithm 18.2 of [1]

Note
Tested with run1807restrictedSteps.m
Date
Mon Mar 23 10:59:13 2015

Definition in file restrictedSteps.m.

## Function Documentation

 function restrictedSteps ( in A, in b, in c, in x0, in lambda0, in mu0, in eps, in theta )

Applies the interior point algorithm with restricted steps to solve

subject to

and

.

Parameters
 A the constraint matrix b the constraint right hand side c the cost vector for the objective function x0 starting primal point (nx1) lambda0 starting dual point for equality constraints (mx1) mu0 starting dual point for inequality constraints (nx1) eps algorithm stops if . theta parameter such that 0 <= theta <= 1 (default: 0.4) maxiter maximum number of iterations (default: 100)
Returns
[x,lambda,mu]
x: primal solution
lambda: dual solution for equality constraints
mu: dual solution for inequality constraints