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Short-step path following takes O(νlog⁡(ν/(εt0))) 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 p∗ 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 k path updates the returned iterate satisfies cTx−p∗≤ν+ν/2tk≤3ν2tk,tk=t0(1+18ν)k. Consequently, for R=3ν/(2εt0)>1, at most k=⌈log⁡Rlog⁡(1+1/(8ν))⌉≤1+9νlog⁡R path updates suffice, with at most two damped Newton corrections per update. Uniformly for R>1, this is O(1+νlog⁡R) Newton corrections. As ν/(εt0)→∞, it is O(νlog⁡(ν/(εt0))) 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 1/4, attained barrier centers, and the short-step algorithm and local self-concordant calculus.

[F1]

λF(x)≤ν and F(αx)=F(x)−νlog⁡α for α>0 (Self-concordant log-homogeneous barriers and their local geometry).

[F2]

A damped Newton correction has decrement at most 2λ2 and ∥x−x∗∥x≤λ/(1−λ) when λ<1 (Local Hessian comparison, damped Newton decrement, and center distance).

[F3]

An exact central point has gap at most ν/t (Exact central points have barrier gap m/t or nu/t).

[F4]

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

1.1F1algebra

Log homogeneity gives DF(x)[x]=−ν, D2F(x)[x,x]=ν, and D3F(x)[x,x,x]=−2ν. The self-concordance inequality in [F1] therefore implies 2ν≤2ν3/2, hence ν≥1.

1.2F1givenalgebra

At an iterate with λt(x)≤1/4, set α=1+1/(8ν) and B(x)=F(h−Gx). On ker⁡A, D2B(x)[d,d]=D2F(s)[Gd,Gd], so the restricted dual norm of DB(x) is at most the ambient dual norm of DF(s), hence at most ν by [F1]. Since DΦαt=αDΦt+(1−α)DB, the triangle inequality gives λαt(x)≤αλt(x)+(α−1)ν≤3/8+1/(32ν)≤13/32.

2.1F2F4step 1.2algebra

Adding the linear term t+cTx does not change the barrier Hessian, local norms, or third derivatives, so [F2] applies to Φt+. The starting decrement is at most 13/32<1, so [F4] gives a unique attained center for that subproblem. After the first damped correction the decrement is at most 2(13/32)2=338/1024. Applying [F2] once more gives at most 2(338/1024)2<1/4. Dikin inclusion keeps both corrections in the cone interior. Thus each path update is recentered in at most two corrections.

3.1F1F2F3step 2.1algebra

Let x∗(t) be the exact center at the new t and let x be the accepted iterate with λt(x)≤1/4. By [F2], r=∥x−x∗(t)∥x≤1/3. Applying its local Hessian comparison to this segment gives ∥x−x∗(t)∥x∗(t)≤r/(1−r)≤1/2. For h=x−x∗(t), the restricted barrier norm is ∥Gh∥s∗(t)=∥h∥x∗(t). Stationarity of x∗(t) along the feasible affine space gives tcTh=−DF(s∗(t))[s(x)−s∗(t)]. The restricted barrier dual norm of this functional is at most the ambient ν from [F1], because restricting the unit-vector supremum can only decrease it. Hence ∣cTh∣≤ν/(2t). Combining this with [F3] yields cTx−p∗≤(ν+ν/2)/t≤3ν/(2t), since ν≥1.

4.1step 2.1step 3.1algebra∎

Each path update multiplies t by α, so tk=t0αk. The bound in step 3.1 is at most ε once tk≥3ν/(2ε), which gives the displayed ceiling. For u=1/(8ν)≤1/8, log⁡(1+u)≥u/(1+u)≥1/(9ν); hence k≤1+9νlog⁡R. Step 2.1 bounds corrections by 2k≤2+18νlog⁡R, giving the uniform bound. As ν/(εt0)→∞, log⁡R=log⁡(ν/(εt0))+log⁡(3/2) gives the asserted asymptotic bound.

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