Hessian distances and their applications in the complexity analysis of interior-point methods
For interior points in convex cones, we introduce the Hessian distance function, and show that it is convenient for complexity analysis of polynomial-time interior-point methods (IPMs). As an example of its application, we develop new infeasible-start IPM for the linear conic optimization problem. In our setting, the primal and dual cones need not to be self-dual. We can start from any primal-dual point in the interior of the cones. Then, the damped Newton's method can be used for obtaining an approximate solution for the strictly feasible case, or for detecting primal/dual infeasibility. The complexity of these cases depends on the Hessian distance between the starting point and the feasibility/infeasibility certificates. We also present some numerical results.
interior-point methods conic optimization problems polynomial-time methods infeasible-start schemes