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: | Shanno David F., Benson Hande Y. |
Keywords: | interior point methods, duality |
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.