A globally convergent Lagrange and barrier function iterative algorithm for the traveling salesman problem

Abstract

In this paper a globally convergent Lagrange and barrier function iterative algorithm is proposed for approximating a solution of the traveling salesman problem. The algorithm employs an entropy-type barrier function to deal with nonnegativity constraints and Lagrange multipliers to handle linear equality constraints, and attempts to produce a solution of high quality by generating a minimum point of a barrier problem for a sequence of descending values of the barrier parameter. For any given value of the barrier parameter, the algorithm searches for a minimum point of the barrier problem in a feasible descent direction, which has a desired property that the nonnegativity constraints are always satisfied automatically if the step length is a number between zero and one. At each iteration the feasible descent direction is found by updating Lagrange multipliers with a globally convergent iterative procedure. For any given value of the barrier parameter, the algorithm converges to a stationary point of the barrier problem without any condition on the objective function. Theoretical and numerical results show that the algorithm seems more effective and efficient than the softassign algorithm.