- Constraint Reduction for Linear Programs with Many Inequality Constraints Andre L. Tits (andreumd.edu) Pierre-Antoine Absil (absilcsit.fsu.edu) William P. Woessner (woessnercs.umd.edu) Abstract: Consider solving a linear program in standard form, where the constraint matrix $A$ is $m \times n$, with $n \gg m \gg 1$. Such problems arise, for example, as the result of finely discretizing a semi-infinite program. The cost per iteration of typical primal-dual interior-point methods on such problems is $O(m^2n)$. We propose to reduce that cost by replacing the normal equation matrix, $AD^2A^{\T}$, $D$ a diagonal matrix, with a reduced'' version (of same dimension), $A_QD_Q^2A_Q^{\T}$, where $Q$ is an index set including the indices of $M$ most nearly active (or most violated) dual constraints at the current iterate, $M\geq m$ a prescribed integer. This can result in a speedup of close to $n/|Q|$ at each iteration. Promising numerical results are reported for constraint-reduced versions of a dual-feasible affine-scaling algorithm and of Mehrotra's Predictor-Corrector method [SIAM J. Opt., Vol.2, pp. 575-601, 1992]. In particular, while it could be expected that neglecting a large portion of the constraints, especially at early iterations, may result in a significant deterioration of the search direction, it turns out that the total number of iterations remains essentially constant as the size of the reduced constraint set is decreased, often down to a small fraction of the total set. In the case of the affine-scaling algorithm, global convergence and local quadratic convergence are proved. Keywords: linear programming, constraint reduction, column generation, primal-dual interior-point methods, affine scaling, Mehrotra's Predictor-Corrector Category 1: Linear, Cone and Semidefinite Programming (Linear Programming ) Citation: SIAM J.on Optimization, Vol.17, No.1, pp.119-146, 2006. Download: Entry Submitted: 04/28/2005Entry Accepted: 04/28/2005Entry Last Modified: 05/01/2006Modify/Update this entry Visitors Authors More about us Links Subscribe, Unsubscribe Digest Archive Search, Browse the Repository Submit Update Policies Coordinator's Board Classification Scheme Credits Give us feedback Optimization Journals, Sites, Societies Optimization Online is supported by the Mathematical Programming Society and by the Optimization Technology Center.