期刊
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
卷 38, 期 3, 页码 371-399出版社
SPRINGER
DOI: 10.1007/s10589-007-9048-6
关键词
interior-point methods; linear programming; warmstarting; penalty methods
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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