On Interior-Point Warmstarts for Linear and Combinatorial Optimization

  • Authors:
  • Alexander Engau;Miguel F. Anjos;Anthony Vannelli

  • Affiliations:
  • aengau@alumni.clemson.edu;anjos@stanfordalumni.org;vannelli@uoguelph.ca

  • Venue:
  • SIAM Journal on Optimization
  • Year:
  • 2010

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Abstract

Despite the many advantages of interior-point algorithms over active-set methods for linear optimization, one of the remaining practical challenges is their current limitation to efficiently solve series of related problems by an effective warmstarting strategy. As a remedy, in this paper we present a new infeasible-interior-point approach to quickly reoptimize an initial problem instance after data perturbations, or a new linear programming relaxation after adding cutting planes for discrete or combinatorial problems. Based on the detailed complexity analysis of the underlying algorithm, we perform a comparative analysis to coldstart initialization schemes and present encouraging computational results with iteration savings of around 50% on average for perturbations of the Netlib linear programs (LPs) and successive linear programming relaxations of max-cut and the traveling salesman problem.