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

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

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

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

Two essays in computational optimization: computing the clar number in fullerene graphs and distributing the errors in iterative interior point methods

Fullerene are cage-like hollow carbon molecules graph of pseudospherical sym- metry consisting of only pentagons and hexagons faces. It has been the object of interest for chemists and mathematicians due to its widespread application in various fields, namely including electronic and optic engineering, medical sci- ence and biotechnology. A Fullerene molecular, Γ n of n atoms has a multiplicity of isomers which increases as N iso ∼ O(n 9 ). For instance, Γ 180 has 79,538,751 isomers. The Fries and Clar numbers are stability predictors of a Fullerene molecule. These number can be computed by solving a (possibly N P -hard) combinatorial optimization problem. We propose several ILP formulation of such a problem each yielding a solution algorithm that provides the exact value of the Fries and Clar numbers. We compare the performances of the algorithm derived from the proposed ILP formulations. One of this algorithm is used to find the Clar isomers, i.e., those for which the Clar number is maximum among all isomers having a given size. We repeated this computational experiment for all sizes up to 204 atoms. In the course of the study a total of 2 649 413 774 isomers were analyzed.The second essay concerns developing an iterative primal dual infeasible path following (PDIPF) interior point (IP) algorithm for separable convex quadratic minimum cost flow network problem. In each iteration of PDIPF algorithm, the main computational effort is solving the underlying Newton search direction system. We concentrated on finding the solution of the corresponding linear system iteratively and inexactly. We assumed that all the involved inequalities can be solved inexactly and to this purpose, we focused on different approaches for distributing the error generated by iterative linear solvers such that the convergences of the PDIPF algorithm are guaranteed. As a result, we achieved theoretical bases that open the path to further interesting practical investiga- tion

Inexact Interior-Point Methods for Large Scale Linear and Convex Quadratic Semidefinite Programming

Ph.DDOCTOR OF PHILOSOPH

Finding a point in the relative interior of a polyhedron

A new initialization or `Phase I' strategy for feasible interior point methods for linear programming is proposed that computes a point on the primal-dual central path associated with the linear program. Provided there exist primal-dual strictly feasible points - an all-pervasive assumption in interior point method theory that implies the existence of the central path - our initial method (Algorithm 1) is globally Q-linearly and asymptotically Q-quadratically convergent, with a provable worst-case iteration complexity bound. When this assumption is not met, the numerical behaviour of Algorithm 1 is highly disappointing, even when the problem is primal-dual feasible. This is due to the presence of implicit equalities, inequality constraints that hold as equalities at all the feasible points. Controlled perturbations of the inequality constraints of the primal-dual problems are introduced - geometrically equivalent to enlarging the primal-dual feasible region and then systematically contracting it back to its initial shape - in order for the perturbed problems to satisfy the assumption. Thus Algorithm 1 can successfully be employed to solve each of the perturbed problems.\ud We show that, when there exist primal-dual strictly feasible points of the original problems, the resulting method, Algorithm 2, finds such a point in a finite number of changes to the perturbation parameters. When implicit equalities are present, but the original problem and its dual are feasible, Algorithm 2 asymptotically detects all the primal-dual implicit equalities and generates a point in the relative interior of the primal-dual feasible set. Algorithm 2 can also asymptotically detect primal-dual infeasibility. Successful numerical experience with Algorithm 2 on linear programs from NETLIB and CUTEr, both with and without any significant preprocessing of the problems, indicates that Algorithm 2 may be used as an algorithmic preprocessor for removing implicit equalities, with theoretical guarantees of convergence