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The central path is an infinitely smooth parameterization of the non-negative real line, and its convergence properties have been investigated since the middle 1980s. However, the central "path" followed by an infeasible-interior-point method relies on three parameters instead of one, and is hence a surface instead of a path. The additional parameters are included to allow for simultaneous perturbations in the cost and righ-hand side vectors. This paper provides a detailed analysis of the perturbed central path that is followed by infeasible-interior-point methods, and we characterize when such a path converges. We develop a set (Hausdorff) convergence property and show that the central paths impose an equivalence relation on the set of admissible cost vectors. We conclude with a technique to test for convergence under arbitrary, simultaneous data perturbations.

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Society for Industrial and Applied Mathematics

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SIAM Journal on Optimization

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Mathematics Commons