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Active-set prediction for interior point methods using controlled perturbations

Abstract:

We propose the use of controlled perturbations to address the challenging question of optimal active-set prediction for interior point methods. Namely, in the context of linear programming, we consider perturbing the inequality constraints/bounds so as to enlarge the feasible set. We show that if the perturbations are chosen appropriately, the solution of the original problem lies on or close to the central path of the perturbed problem. We also find that a primal-dual path-following algorith...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.1007/s10589-015-9791-z

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Department:
Balliol College
Role:
Author
Publisher:
Springer Verlag Publisher's website
Journal:
Computational Optimization and Applications Journal website
Volume:
63
Issue:
3
Pages:
639-684
Publication date:
2016-01-19
Acceptance date:
2015-09-14
DOI:
EISSN:
1573-2894
ISSN:
0926-6003
Pubs id:
pubs:629952
URN:
uri:9128efa4-2ef3-49fb-b3cb-12064d59ae2a
UUID:
uuid:9128efa4-2ef3-49fb-b3cb-12064d59ae2a
Local pid:
pubs:629952
Paper number:
3

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