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An exact primal–dual penalty method approach to warmstarting interior-point methods for linear programming

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Abstract

One perceived deficiency of interior-point methods in comparison to active set methods is their inability to efficiently re-optimize by solving closely related problems after a warmstart. In this paper, we investigate the use of a primal–dual penalty approach to overcome this problem. We prove exactness and convergence and show encouraging numerical results on a set of linear and mixed integer programming problems.

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Authors and Affiliations

  1. Drexel University, Philadelphia, PA, USA

    Hande Y. Benson

  2. RUTCOR, Rutgers University, New Brunswick, NJ, USA

    David F. Shanno

Authors
  1. Hande Y. Benson
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  2. David F. Shanno
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Corresponding author

Correspondence to Hande Y. Benson.

Additional information

Research of the first author is sponsored by ONR grant N00014-04-1-0145. Research of the second author is supported by NSF grant DMS-0107450.

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Benson, H.Y., Shanno, D.F. An exact primal–dual penalty method approach to warmstarting interior-point methods for linear programming. Comput Optim Appl 38, 371–399 (2007). https://doi.org/10.1007/s10589-007-9048-6

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  • DOI: https://doi.org/10.1007/s10589-007-9048-6

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