HW6 - MS&E 211 Linear & Nonlinear...

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Unformatted text preview: MS&E 211 Linear & Nonlinear Optimization Fall 2011 Prof Yinyu Ye Homework Assignment 6: Due Tuesday December 6 th at 6:00pm 1. Log-Barrier Method: [25points] (a) [10points] Solve using the log-barrier method: gGGG: + 3 + : + = 1 , 0 (b) [10points] Solve using the log-barrier method: gGGG: 1 2 + 1 2 2 : + 4 (c) [5points] Explain why we can or cannot guarantee convergence to the optimal solution in part b. 2. Central Path of a linear program [20points] Consider the linear program: gGGG: + : + + = 1 , , 0 (a) [10points] Formulate the barriered problem using a logarithmic barrier and derive the KKT optimality condition for the barriered problem. Resolve the optimal solution in terms of the barrier parameter : , ,...
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HW6 - MS&E 211 Linear & Nonlinear...

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