494 research outputs found
Convergence analysis of an Inexact Infeasible Interior Point method for Semidefinite Programming
In this paper we present an extension to SDP of the well known infeasible Interior Point method for linear programming of Kojima,Megiddo and Mizuno (A primal-dual infeasible-interior-point algorithm for Linear Programming, Math. Progr., 1993). The extension developed here allows the use of inexact search directions; i.e., the linear systems defining the search directions can be solved with an accuracy that increases as the solution is approached. A convergence analysis is carried out and the global convergence of the method is prove
Inexact Convex Relaxations for AC Optimal Power Flow: Towards AC Feasibility
Convex relaxations of AC optimal power flow (AC-OPF) problems have attracted
significant interest as in several instances they provably yield the global
optimum to the original non-convex problem. If, however, the relaxation is
inexact, the obtained solution is not AC-feasible. The quality of the obtained
solution is essential for several practical applications of AC-OPF, but
detailed analyses are lacking in existing literature. This paper aims to cover
this gap. We provide an in-depth investigation of the solution characteristics
when convex relaxations are inexact, we assess the most promising AC
feasibility recovery methods for large-scale systems, and we propose two new
metrics that lead to a better understanding of the quality of the identified
solutions. We perform a comprehensive assessment on 96 different test cases,
ranging from 14 to 3120 buses, and we show the following: (i) Despite an
optimality gap of less than 1%, several test cases still exhibit substantial
distances to both AC feasibility and local optimality and the newly proposed
metrics characterize these deviations. (ii) Penalization methods fail to
recover an AC-feasible solution in 15 out of 45 cases, and using the proposed
metrics, we show that most failed test instances exhibit substantial distances
to both AC-feasibility and local optimality. For failed test instances with
small distances, we show how our proposed metrics inform a fine-tuning of
penalty weights to obtain AC-feasible solutions. (iii) The computational
benefits of warm-starting non-convex solvers have significant variation, but a
computational speedup exists in over 75% of the cases
Convergence Analysis of an Inexact Feasible Interior Point Method for Convex Quadratic Programming
In this paper we will discuss two variants of an inexact feasible interior
point algorithm for convex quadratic programming. We will consider two
different neighbourhoods: a (small) one induced by the use of the Euclidean
norm which yields a short-step algorithm and a symmetric one induced by the use
of the infinity norm which yields a (practical) long-step algorithm. Both
algorithms allow for the Newton equation system to be solved inexactly. For
both algorithms we will provide conditions for the level of error acceptable in
the Newton equation and establish the worst-case complexity results
Projection methods in conic optimization
There exist efficient algorithms to project a point onto the intersection of
a convex cone and an affine subspace. Those conic projections are in turn the
work-horse of a range of algorithms in conic optimization, having a variety of
applications in science, finance and engineering. This chapter reviews some of
these algorithms, emphasizing the so-called regularization algorithms for
linear conic optimization, and applications in polynomial optimization. This is
a presentation of the material of several recent research articles; we aim here
at clarifying the ideas, presenting them in a general framework, and pointing
out important techniques
A distributed primal-dual interior-point method for loosely coupled problems using ADMM
In this paper we propose an efficient distributed algorithm for solving
loosely coupled convex optimization problems. The algorithm is based on a
primal-dual interior-point method in which we use the alternating direction
method of multipliers (ADMM) to compute the primal-dual directions at each
iteration of the method. This enables us to join the exceptional convergence
properties of primal-dual interior-point methods with the remarkable
parallelizability of ADMM. The resulting algorithm has superior computational
properties with respect to ADMM directly applied to our problem. The amount of
computations that needs to be conducted by each computing agent is far less. In
particular, the updates for all variables can be expressed in closed form,
irrespective of the type of optimization problem. The most expensive
computational burden of the algorithm occur in the updates of the primal
variables and can be precomputed in each iteration of the interior-point
method. We verify and compare our method to ADMM in numerical experiments.Comment: extended version, 50 pages, 9 figure
An interior point-proximal method of multipliers for linear positive semi-definite programming
In this paper we generalize the Interior Point-Proximal Method of Multipliers (IP-PMM) presented in Pougkakiotis and Gondzio (Comput Optim Appl 78:307–351, 2021. https://doi.org/10.1007/s10589-020-00240-9) for the solution of linear positive Semi-Definite Programming (SDP) problems, allowing inexactness in the solution of the associated Newton systems. In particular, we combine an infeasible Interior Point Method (IPM) with the Proximal Method of Multipliers (PMM) and interpret the algorithm (IP-PMM) as a primal-dual regularized IPM, suitable for solving SDP problems. We apply some iterations of an IPM to each sub-problem of the PMM until a satisfactory solution is found. We then update the PMM parameters, form a new IPM neighbourhood, and repeat this process. Given this framework, we prove polynomial complexity of the algorithm, under mild assumptions, and without requiring exact computations for the Newton directions. We furthermore provide a necessary condition for lack of strong duality, which can be used as a basis for constructing detection mechanisms for identifying pathological cases within IP-PMM.</p
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