The OPTQP Procedure
The interior point solver in PROC OPTQP implements an infeasible primal-dual predictor-corrector interior point algorithm. The following information is displayed in the iteration log:
- Iter
-
indicates the iteration number.
- Complement
-
indicates the (absolute) complementarity.
- Duality Gap
-
indicates the (relative) duality gap.
- Primal Infeas
-
indicates the (relative) primal infeasibility measure.
- Bound Infeas
-
indicates the (relative) bound infeasibility measure.
- Dual Infeas
-
indicates the (relative) dual infeasibility measure.
If the sequence of solutions converges to an optimal solution of the problem, you should see all columns in the iteration log converge to zero or very close to zero. Nonconvergence can be the result of insufficient iterations being performed to reach optimality. In this case, you might need to increase the value that you specify in the MAXITER= or MAXTIME= option. If the complementarity or the duality gap does not converge, the problem might be infeasible or unbounded. If the infeasibility columns do not converge, the problem might be infeasible.