An exact primal–dual penalty method approach to warmstarting interior-point methods for linear programming

An exact primal–dual penalty method approach to warmstarting interior-point methods for linear programming

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Article ID: iaor20084135
Country: Netherlands
Volume: 38
Issue: 3
Start Page Number: 371
End Page Number: 399
Publication Date: Dec 2007
Journal: Computational Optimization and Applications
Authors: ,
Keywords: interior point methods, duality
Abstract:

One perceived deficiency of interior-point methods in comparison to active set methods is their inability to efficiently re-optimize by solving closely related problems after a warmstart. In this paper, we investigate the use of a primal–dual penalty approach to overcome this problem. We prove exactness and convergence and show encouraging numerical results on a set of linear and mixed integer programming problems.

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