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Short-step path following takes Newton steps
Statement
Assume the inputs of Short-step self-concordant path following with finite failure statuses, with a positive-definite restricted barrier Hessian, and assume the primal value is finite. The initial decrement and the update rule imply existence of the exact center at each path parameter. If the finite caps permit each path update, then after path updates the returned iterate satisfies Consequently, for , at most path updates suffice, with at most two damped Newton corrections per update. Uniformly for , this is Newton corrections. As , it is Newton corrections. If an input cap is smaller than the required number, the algorithm returns its named failure status and makes no successful-complexity claim.
Facts & Assumptions
Given: A strict feasible start with decrement at most , attained barrier centers, and the short-step algorithm and local self-concordant calculus.
A damped Newton correction has decrement at most and when (Local Hessian comparison, damped Newton decrement, and center distance).
An exact central point has gap at most (Exact central points have barrier gap m/t or nu/t).
Any self-concordant barrier point with decrement below one has a unique attained global minimizer, and its local distance to that minimizer is bounded (Local Hessian comparison, damped Newton decrement, and center distance).
Proof
Log homogeneity gives , , and . The self-concordance inequality in [F1] therefore implies , hence .
At an iterate with , set and . On , , so the restricted dual norm of is at most the ambient dual norm of , hence at most by [F1]. Since , the triangle inequality gives .
Adding the linear term does not change the barrier Hessian, local norms, or third derivatives, so [F2] applies to . The starting decrement is at most , so [F4] gives a unique attained center for that subproblem. After the first damped correction the decrement is at most . Applying [F2] once more gives at most . Dikin inclusion keeps both corrections in the cone interior. Thus each path update is recentered in at most two corrections.
Let be the exact center at the new and let be the accepted iterate with . By [F2], . Applying its local Hessian comparison to this segment gives . For , the restricted barrier norm is . Stationarity of along the feasible affine space gives . The restricted barrier dual norm of this functional is at most the ambient from [F1], because restricting the unit-vector supremum can only decrease it. Hence . Combining this with [F3] yields , since .
Each path update multiplies by , so . The bound in step 3.1 is at most once , which gives the displayed ceiling. For , ; hence . Step 2.1 bounds corrections by , giving the uniform bound. As , gives the asserted asymptotic bound.
Depends on
Used by
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Sources
- Stephen Boyd and Lieven Vandenberghe, Convex Optimization (standard reference, not scraped)
- Hamza Fawzi, Topics in Convex Optimisation, Lecture 14: Self-concordant functions (standard reference, not scraped)
- Hamza Fawzi, Topics in Convex Optimisation, Lecture 15: Path-following methods (standard reference, not scraped)