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Parallel Interior Point Schemes for Solving Multistage Convex Programming

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Abstract

The predictor–corrector interior-point path-following algorithm is promising in solving multistage convex programming problems. Among many other general good features of this algorithm, especially attractive is that the algorithm allows possibility to parallelise the major computations. The dynamic structure of the multistage problems specifies a block-tridiagonal system at each Newton step of the algorithm. A wrap-around permutation is then used to implement the parallel computation for this step.

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Authors and Affiliations

  1. Centre for Mathematics and its Applications, Australian National University, Canberra, 0200, Australia

    M. Hegland & M.R. Osborne

  2. Singapore-MIT Alliance and Department of Decision Sciences, National University of Singapore, Republic of Singapore, 119260

    J. Sun

Authors
  1. M. Hegland
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  2. M.R. Osborne
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  3. J. Sun
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Hegland, M., Osborne, M. & Sun, J. Parallel Interior Point Schemes for Solving Multistage Convex Programming. Annals of Operations Research 108, 75–85 (2001). https://doi.org/10.1023/A:1016098709653

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