Trajectory analysis and extrapolation in barrier function methods

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Abstract
It has been known for some time that if a certain non-degeneracy condition is satisfied then the successive solution estimates x(r) produced by barrier function techniques lie on a smooth trajectory. Accordingly, extrapolation methods can be used to calculate x(0). In this paper we analyse the situation further treating the special case of the log barrier function. If the non-degeneracy assumption is not satisfied then the approach to x(0) is like r½ rather than like r which would be expected in the non-degenerate case. A measure of sensitivity is introduced which becomes large when the non- degeneracy assumption is close to violation, and it is shown that this sensitivity measure is related to the growth of dix/dri with respect to i for fixed r small enough on the solution trajectory. With this information it is possible to analyse the extrapolation procedure and to predict the number of stages of extrapolation which are useful.

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