Matrix-free interior point method
Computational Optimization and Applications
A Predictor-corrector algorithm with multiple corrections for convex quadratic programming
Computational Optimization and Applications
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In this paper we develop a long-step primal-dual infeasible path-following algorithm for convex quadratic programming (CQP) whose search directions are computed by means of a preconditioned iterative linear solver. We propose a new linear system, which we refer to as the augmented normal equation (ANE), to determine the primal-dual search directions. Since the condition number of the ANE coefficient matrix may become large for degenerate CQP problems, we use a maximum weight basis preconditioner introduced in [A. R. L. Oliveira and D. C. Sorensen, Linear Algebra Appl., 394 (2005), pp. 1-24; M. G. C. Resende and G. Veiga, SIAM J. Optim., 3 (1993), pp. 516-537; P. Vaida, Solving Linear Equations with Symmetric Diagonally Dominant Matrices by Constructing Good Preconditioners, Tech. report, Department of Computer Science, University of Illinois at Urbana-Champaign, Urbana, IL, 1990] to precondition this matrix. Using a result obtained in [R. D. C. Monteiro, J. W. O'Neal, and T. Tsuchiya, SIAM J. Optim., 15 (2004), pp. 96-100], we establish a uniform bound, depending only on the CQP data, for the number of iterations needed by the iterative linear solver to obtain a sufficiently accurate solution to the ANE. Since the iterative linear solver can generate only an approximate solution to the ANE, this solution does not yield a primal-dual search direction satisfying all equations of the primal-dual Newton system. We propose a way to compute an inexact primal-dual search direction so that the equation corresponding to the primal residual is satisfied exactly, while the one corresponding to the dual residual contains a manageable error which allows us to establish a polynomial bound on the number of iterations of our method.