内点法（方述诚 笔记5

interior point method

motivation：大型计算时

不是第一个多项式时间算法，

如果看到很好的方向，可以直接过去，（沿边走、方向被限制），但是看多个方向，计算量增加

 

 

Key knowledge
• 1.Who is in the interior?
        - Initial solution
• 2. How do we know a current solution is optimal?
        - Optimality condition
• 3. How to move to a new solution?
        - Which direction to move? (good feasible direction)
        - How far to go? (step-length)

 good enough 时，到边附近足够多，就跳上边界点，进化purification（identify谁是nbv 设为0）

 

1. Who is in the interior?

 

2. How do we know a current solution is optimal?

in simplex method: 

 

Q2 - How do we know a current solution is optimal?
• Basic concept of optimality:
A current feasible solution optimal if and only if
no feasible direction at this point is a good direction.
• In other words, “every feasible direction is not a good direction to move!”

在该点，能走的都不是好方向

Feasible direction
• In an interior-point method, a feasible direction at a current solution is a direction allows it to take a small movement while staying to be interior feasible.
 本身是一个interior feasible solution


- There is no problem to stay interior if the step-length is small enough.
- To maintain feasibility, we need

 移动一点点，linear constraint不feasible   才能约束

A矩阵作用在向量上 =0，数学上叫做 向量落在矩阵A的零空间里，

Good direction
• In an interior-point method, a good direction at a current solutio