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A central path approaches the boundary and the Hessian conditioning diverges

Example

Consider min⁡x1 subject to x1≥0, x2≥0, and x1+x2≤1. On the strict interior the logarithmic barrier objective at parameter t>0 is Φt(x)=tx1−log⁡x1−log⁡x2−log⁡(1−x1−x2).

Facts & Assumptions

Given: The strict feasible region and barrier objective above; write q=1−x1−x2.

[F1]

Any attained minimizer of the logarithmic barrier objective Φt in the strict feasible region is a central point (Log-barrier central paths and primal-dual Newton residuals).

[F2]

A real symmetric matrix has an orthonormal eigenbasis (Real spectral theorem: a self-adjoint endomorphism of a finite-dimensional real inner product space has an orthonormal eigenbasis); hence its extreme eigenvalues bound each unit-vector Rayleigh quotient.

Verification

1.1givenF1algebra

The closed feasible triangle {x1≥0,x2≥0,x1+x2≤1} is compact, and x1,x2,q lie in [0,1]. On its strict interior, each barrier term is nonnegative; as any boundary point is approached, at least one of x1,x2,q tends to zero and its negative logarithm tends to +∞, while tx1 is bounded. Fix any strict-interior point. Its objective sublevel set is therefore separated from the boundary, closed in the compact triangle by continuity, and compact; the objective attains a strict-interior minimizer. Direct differentiation gives Ht=(x1−2+q−2q−2q−2x2−2+q−2), whose quadratic form is h12/x12+h22/x22+(h1+h2)2/q2>0 for every nonzero h, so the minimizer is unique. At the central point, the x2 derivative is −1/x2+1/q=0, hence q=x2 and x1+2x2=1. The x1 derivative is t−1/x1+1/q=0, so 1/x1=t+1/x2>t and 0<x1<1/t. Consequently x1→0 and x2=q→1/2 as t→∞.

2.1F2step 1.1algebra∎

For t≥4, step 1.1 gives x1<1/4 and x2=q=(1−x1)/2>3/8. By [F2] applied to the coordinate unit vectors, λmax⁡(Ht)≥(Ht)11>x1−2>t2 and 0<λmin⁡(Ht)≤(Ht)22=x2−2+q−2<2(8/3)2=128/9. With κ2(Ht):=λmax⁡(Ht)/λmin⁡(Ht) for this positive-definite Hessian, κ2(Ht)>9t2/128, exhibiting growing conditioning as the central path approaches the boundary.

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