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

By Hande Y. Benson, David and F. Shanno


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. 1

Year: 2010
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