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An Exact Primal-Dual Penalty Method Approach to Warmstarting Interior-Point Methods for Linear Programming
Hande Benson (benson 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. Keywords: Interior-point methods, linear programming, warmstarting, penalty methods Category 1: Linear, Cone and Semidefinite Programming (Linear Programming ) Citation: Working paper, September 2005 Download: [PDF] Entry Submitted: 09/01/2005 Modify/Update this entry | ||
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