Jacek Gondzio (University of Edinburgh)
Interior point methods for optimization: just call Newton, Lagrange and Fiacco & McCormick
Wednesday 11 November 1998 at 15.30, JCMB 6324
Following , to derive the primal-dual interior point algorithm one
- replace nonnegativity constraints on the variables with logarithmic barrier
- move equality constraints to the objective with the Lagrange
transformation to obtain an unconstrained optimization problem and write
first order optimality conditions for it;
- apply Newton's method to solve these first order optimality conditions
(i.e. to solve a system of nonlinear equations).
We shall do this exercise. Next, we shell focus on the computational
aspects of interior point methods for linear, quadratic and general,
 R. E. Marsten, R. Subramaniam, M. J. Saltzman, I. J. Lustig and
D. F. Shanno, Interior point methods for linear programming: Just call Newton,
Lagrange, and Fiacco and McCormick, Interfaces 20 (1990) No 4, pp 105-116.
Seminars by year