Consider a nonempty convex set in Rm which is defined by a finite number of smooth convex inequalities and which admits a self-concordant logarithmic barrier. We study the analytic center based column generation algorithm for the problem of finding a feasible point in this set. At each iteration the algorithm computes an approximate analytic center of the set defined by the inequalities generated in the previous iterations. If this approximate analytic center is a solution, then the algorithm terminates; otherwise either an existing inequality is shifted or a new inequality is added into the system. As the number of iterations increases, the set defined by the generated inequalities shrinks and the algorithm eventually finds a solution of the problem. The algorithm can be thought of as an extension of the classical cutting plane method. The difference is that we use analytic centers and 'convex cuts' instead of arbitrary infeasible points and linear cuts. In contrast to the cutting plane method, the algorithm has a polynomial worst case complexity of O (N log 1/ε) on the total number of cuts to be used, where N is the number of convex inequalities in the original problem and ε is the maximum common slack of the original inequality system.
Bibliographical noteFunding Information:
The research of the first author is supported by the Natural Sciences and Engineering Research Council of Canada, Grant No. OPG0090391, and the research of the second author is supported by Grant No. RP930033 of National University of Singapore.