102 research outputs found
Predictor-corrector interior-point algorithm based on a new search direction working in a wide neighbourhood of the central path
We introduce a new predictor-corrector interior-point algorithm for solving P_*(Îș)-linear complementarity problems which works in a wide neighbourhood of the central path. We use the technique of algebraic equivalent transformation of the centering equations of the central path system. In this technique, we apply the function Ï(t)=ât in order to obtain the new search directions. We define the new wide neighbourhood D_Ï. In this way, we obtain the first interior-point algorithm, where not only the central path system is transformed, but the definition of the neighbourhood is also modified taking into consideration the algebraic equivalent transformation technique. This gives a new direction in the research of interior-point methods. We prove that the IPA has O((1+Îș)n logâĄ((ăă(xă^0)ă^T s^0)/Ï”) ) iteration complexity. Furtermore, we show the efficiency of the proposed predictor-corrector interior-point method by providing numerical results. Up to our best knowledge, this is the first predictor-corrector interior-point algorithm which works in the D_Ï neighbourhood using Ï(t)=ât
Convergence of infeasible-interior-point methods for self-scaled conic programming
Convergence of infeasible-interior-point methods for self-scaled conic programmin
Computational analysis of real-time convex optimization for control systems
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2000.Includes bibliographical references (p. 177-189).Computational analysis is fundamental for certification of all real-time control software. Nevertheless, analysis of on-line optimization for control has received little attention to date. On-line software must pass rigorous standards in reliability, requiring that any embedded optimization algorithm possess predictable behavior and bounded run-time guarantees. This thesis examines the problem of certifying control systems which utilize real-time optimization. A general convex programming framework is used, to which primal-dual path-following algorithms are applied. The set of all optimization problem instances which may arise in an on-line procedure is characterized as a compact parametric set of convex programming problems. A method is given for checking the feasibility and well-posedness of this compact set of problems, providing certification that every problem instance has a solution and can be solved in finite time. The thesis then proposes several algorithm initialization methods, considering the fixed and time-varying constraint cases separately. Computational bounds are provided for both cases. In the event that the computational requirements cannot be met, several alternatives to on-line optimization are suggested. Of course, these alternatives must provide feasible solutions with minimal real-time computational overhead. Beyond this requirement, these methods approximate the optimal solution as well as possible. The methods explored include robust table look-up, functional approximation of the solution set, and ellipsoidal approximation of the constraint set. The final part of this thesis examines the coupled behavior of a receding horizon control scheme for constrained linear systems and real-time optimization. The driving requirement is to maintain closed-loop stability, feasibility and well-posedness of the optimal control problem, and bounded iterations for the optimization algorithm. A detailed analysis provides sufficient conditions for meeting these requirements. A realistic example of a small autonomous air vehicle is furnished, showing how a receding horizon control law using real-time optimization can be certified.by Lawrence Kent McGovern.Ph.D
Predictor-corrector interior-point algorithm for sufficient linear complementarity problems based on a new type of algebraic equivalent transformation technique
We propose a new predictor-corrector (PC) interior-point algorithm (IPA) for solving linear complementarity problem (LCP) with P_* (Îș)-matrices. The introduced IPA uses a new type of algebraic equivalent transformation (AET) on the centering equations of the system defining the central path. The new technique was introduced by Darvay et al. [21] for linear optimization. The search direction discussed in this paper can be derived from positive-asymptotic kernel function using the function Ï(t)=t^2 in the new type of AET. We prove that the IPA has O(1+4Îș)ân logâĄă(3nÎŒ^0)/Δă iteration complexity, where Îș is an upper bound of the handicap of the input matrix. To the best of our knowledge, this is the first PC IPA for P_* (Îș)-LCPs which is based on this search direction
Optimization and Applications
[no abstract available
Introducing Interior-Point Methods for Introductory Operations Research Courses and/or Linear Programming Courses
In recent years the introduction and development of Interior-Point Methods has had a profound impact on optimization theory as well as practice, influencing the field of Operations Research and related areas. Development of these methods has quickly led to the design of new and efficient optimization codes particularly for Linear Programming. Consequently, there has been an increasing need to introduce theory and methods of this new area in optimization into the appropriate undergraduate and first year graduate courses such as introductory Operations Research and/or Linear Programming courses, Industrial Engineering courses and Math Modeling courses. The objective of this paper is to discuss the ways of simplifying the introduction of Interior-Point Methods for students who have various backgrounds or who are not necessarily mathematics majors
An infeasible interior-point arc-search method with Nesterov's restarting strategy for linear programming problems
An arc-search interior-point method is a type of interior-point methods that
approximates the central path by an ellipsoidal arc, and it can often reduce
the number of iterations. In this work, to further reduce the number of
iterations and computation time for solving linear programming problems, we
propose two arc-search interior-point methods using Nesterov's restarting
strategy that is well-known method to accelerate the gradient method with a
momentum term. The first one generates a sequence of iterations in the
neighborhood, and we prove that the convergence of the generated sequence to an
optimal solution and the computation complexity is polynomial time. The second
one incorporates the concept of the Mehrotra-type interior-point method to
improve numerical performance. The numerical experiments demonstrate that the
second one reduced the number of iterations and computational time. In
particular, the average number of iterations was reduced compared to existing
interior-point methods due to the momentum term.Comment: 33 pages, 6 figures, 2 table
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