Optimization Online


An Exact Primal-Dual Penalty Method Approach to Warmstarting Interior-Point Methods for Linear Programming

Hande Benson (benson***at***drexel.edu)
David Shanno (shanno***at***rutcor.rutgers.edu)

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
Entry Accepted: 09/02/2005
Entry Last Modified: 09/01/2005

Modify/Update this entry

  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society