On superlinear convergence of infeasible-interior-point algorithms for linearly constrained convex programs

R.D.C. Monteiro and F. Zhou

This note derives bounds on the length of the primal-dual affine scaling directions associated with a linearly constrained convex program satisfying the following conditions: 1) the problem has a solution satisfying strict complementarity, 2) the Hessian of the objective function satisfies a certain invariance property. The derived bounds can be used to establish the superlinear convergence of the algorithm presented in Wright and Ralph \cite{WrRa92} for solving the optimality conditions associated with a linearly constrained convex program satisfying the above conditions.