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Steplength Selection in Interior-Point Methods for Quadratic Programming

Frank Curtis (f-curtis***at***northwestern.edu)
Jorge Nocedal (nocedal***at***ece.northwestern.edu)

Abstract: We present a new strategy for choosing primal and dual steplengths in a primal-dual interior-point algorithm for convex quadratic programming. Current implementations often scale steps equally to avoid increases in dual infeasibility between iterations. We propose that this method can be too conservative, while safeguarding an unequally-scaled steplength approach will often require fewer steps toward a solution. Computational results are given.

Keywords: constrained optimization, interior point method, quadratic programming, primal-dual method, barrier method

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )

Citation: Technical Report, Optimization Technology Center, December 2005.

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Entry Submitted: 12/20/2005
Entry Accepted: 01/02/2006
Entry Last Modified: 05/20/2008

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