Primal-dual Interior-Point Methods

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  • Primal-dual Interior-Point Methods Book Detail

  • Author : Stephen J. Wright
  • Release Date : 1997-01-01
  • Publisher : SIAM
  • Genre : Interior-point methods
  • Pages : 309
  • ISBN 13 : 9781611971453
  • File Size : 63,63 MB

Primal-dual Interior-Point Methods by Stephen J. Wright PDF Summary

Book Description: In the past decade, primal-dual algorithms have emerged as the most important and useful algorithms from the interior-point class. This book presents the major primal-dual algorithms for linear programming in straightforward terms. A thorough description of the theoretical properties of these methods is given, as are a discussion of practical and computational aspects and a summary of current software. This is an excellent, timely, and well-written work. The major primal-dual algorithms covered in this book are path-following algorithms (short- and long-step, predictor-corrector), potential-reduction algorithms, and infeasible-interior-point algorithms. A unified treatment of superlinear convergence, finite termination, and detection of infeasible problems is presented. Issues relevant to practical implementation are also discussed, including sparse linear algebra and a complete specification of Mehrotra's predictor-corrector algorithm. Also treated are extensions of primal-dual algorithms to more general problems such as monotone complementarity, semidefinite programming, and general convex programming problems.

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