A Barrier Primal Dual Hybrid Gradient Method for Solving Linear Programming Problems

Abstract: Primal Dual Hybrid Gradient (PDHG) method has been verified to exhibit a two stage convergence behavior, in which a prolonged active set identification phase may be a major issue of slow convergence. In this paper, we propose Barrier PDHG (BPDHG), a nested algorithm which incorporates a logarithmic barrier function into the PDHG framework to alleviate this problem. We first establish convergence of the inner iterations, derive an error bound for the corresponding inner problem. Then we prove that the outer sequence generated by BPDHG approaches the optimal solution set of the LP problem we considered. Furthermore, we integrate the barrier technique into the {Primal Dual Linear Programming} (PDLP) framework to develop the corresponding Barrier PDLP (BPDLP) method. Numerical experiments show that the barrier modification can alleviate prolonged plateaus in the KKT residual on selected instances. We also investigate an empirical instance-dependent indicator for identifying LP problems on which BPDLP is more likely to outperform PDLP.