Mehrotra predictor-corrector method

Mehrotra's predictor-corrector method in optimization is an implementation of interior point methods. It was proposed in 1991 by Sanjay Mehrotra.

The idea is to first compute an optimizing search direction based on a first order term (predictor). The step size that can be taken in this direction is used to evaluate how much centrality correction is needed. Second, a corrector term is computed: this contains both a centrality term and a second order term.

Therefore, the search direction is the sum of the predictor direction and the corrector direction.