Warm-Start Strategies in Interior-Point Methods for Linear Programming

Authors:
E. Alper Yildirim;Stephen J. Wright
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
2002

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Abstract

We study the situation in which, having solved a linear program with an interior-point method, we are presented with a new problem instance whose data is slightly perturbed from the original. We describe strategies for recovering a "warm-start" point for the perturbed problem instance from the iterates of the original problem instance. We obtain worst-case estimates of the number of iterations required to converge to a solution of the perturbed instance from the warm-start points, showing that these estimates depend on the size of the perturbation and on the conditioning and other properties of the problem instances.