Stability and Accuracy of Inexact Interior Point Methods for Convex Quadratic Programming
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We consider primal–dual interior point methods where the linear system arising at each iteration is formulated in the reduced (augmented) form and solved approximately. Focusing on the iterates close to a solution, we analyze the accuracy of the so-called inexact step, i.e., the step that solves the unreduced system, when combining the effects of both different levels of accuracy in the inexact computation and different processes for retrieving the step after block elimination. Our analysis is general and includes as special cases sources of inexactness due either to roundoff and computational errors or to the iterative solution of the augmented system using typical procedures. In the roundoff case, we recover and extend some known results.
KeywordsConvex quadratic programming Primal–dual interior point methods Inexact interior point steps
Mathematics Subject Classification65K05 90C51 90C06
This work was partially supported by INdAM-GNCS under the 2016 Project Metodi numerici per problemi di ottimizzazione vincolata di grandi dimensioni e applicazioni.
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