##
Multiple cuts in the analytic center cutting plane method

###
Jean-Louis Goffin and Jean-Philippe Vial

We analyze the multiple cut generation scheme in the analytic center
cutting plane method. We propose an optimal primal and dual updating
direction when the cuts are central. The direction is optimal in the
sense that it maximizes the product of the new dual slacks and of the
new primal variables within the trust regions defined by Dikin's
primal and dual ellipsoids. The new primal and dual directions use
the variance--covariance matrix of the normals to the new cuts in the
metric given by Dikin's ellipsoid.
We prove that the recovery of a new analytic center from the optimal
restoration direction can be done in $O(p\log (p+1))$ damped Newton
steps, where $p$ is the number of new cuts added by the oracle. The
results and the proofs are independent of the specific scaling
matrix---primal, dual or primal-dual---that is used in the
computations.
The computation of the optimal direction uses Newton's method applied
to a self-concordant function of $p$ variables.
The convergence result of Ye holds here also: the algorithm stops
after $O^*(\frac{p^2n^2}{\varepsilon^2})$ cutting planes have been
generated.
Logilab Technical Report 98.10, Department of Management Studies,
University of Geneva, 102 Bd Carl Vogt, CH-1211 Geneva 4 Switzerland,
June, 1998.

Contact: jean-philippe.vial@hec.unige.ch