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

被引：41
|
作者：
Benson, Hande Y. [1 ]
Shanno, David F.
机构：
[1] Drexel Univ, Philadelphia, PA 19104 USA
[2] Rutgers State Univ, RUTCOR, New Brunswick, NJ 08903 USA
来源：
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2007年 / 38卷 / 03期
基金：
美国国家科学基金会;
关键词：
interior-point methods; linear programming; warmstarting; penalty methods;
D O I：
10.1007/s10589-007-9048-6
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：371 / 399
页数：29
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