Convergence conditions and Krylov subspace-based corrections for primal-dual interior-point method

被引:10
|
作者
Mehrotra, S [1 ]
Li, ZF [1 ]
机构
[1] Northwestern Univ, Dept Ind Engn & Management Sci, Evanston, IL 60208 USA
关键词
linear program; primal-dual interior-point method; inexact search direction; Krylov subspace; convergence;
D O I
10.1137/S1052623403431494
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We present convergence conditions for a generic primal-dual interior-point algorithm with multiple corrector directions. The corrector directions can be generated by any approach. The search direction is obtained by combining predictor and corrector directions through a small linear program. We also propose a new approach to generate corrector directions. This approach generates directions using information from an appropriately defined Krylov subspace. We propose efficient implementation strategies for our approach that follow the analysis of this paper. Numerical experiments illustrating the features of the proposed approach and its practical usefulness are reported.
引用
收藏
页码:635 / 653
页数:19
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