Journal article
ON HANDLING FREE VARIABLES IN INTERIOR-POINT METHODS FOR CONIC LINEAR OPTIMIZATION
SIAM journal on optimization, Vol.18(4), pp.1310-1325
01/01/2008
DOI: 10.1137/06066847X
Abstract
We revisit a regularization technique of Meszaros for handling free variables within interior-point methods for conic linear optimization. We propose a simple computational strategy, supported by a global convergence analysis, for handling the regularization. Using test problems from benchmark suites and recent applications, we demonstrate that the modern code SDPT3 modified to incorporate the proposed regularization is able to achieve the same or significantly better accuracy over standard options of splitting variables, using a quadratic cone, and solving indefinite systems.
Details
- Title: Subtitle
- ON HANDLING FREE VARIABLES IN INTERIOR-POINT METHODS FOR CONIC LINEAR OPTIMIZATION
- Creators
- Miguel F. Anjos - University of WaterlooSamuel Burer - Univ Iowa, Dept Management Sci, Iowa City, IA 52242 USA
- Resource Type
- Journal article
- Publication Details
- SIAM journal on optimization, Vol.18(4), pp.1310-1325
- Publisher
- Siam Publications
- DOI
- 10.1137/06066847X
- ISSN
- 1052-6234
- eISSN
- 1095-7189
- Number of pages
- 16
- Grant note
- 312125; 314668 / Natural Sciences and Engineering Research Council of Canada; Natural Sciences and Engineering Research Council of Canada (NSERC); CGIAR CCR-0203426; CCF-0545514 / NSF; National Science Foundation (NSF)
- Language
- English
- Date published
- 01/01/2008
- Academic Unit
- Business Analytics
- Record Identifier
- 9984380438302771
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