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Primal-dual interior-point methods with asymmetric barriers

Author

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  • NESTEROV, Yurii

    (Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE))

Abstract

In this paper we develop several polynomial-time interior-point methods (IPM) for solving nonlinear primal-dual conic optimization problem. We assume that the barriers for the primal and the dual cone are not conjugate. This broken symmetry does not allow to apply the standard primal-dual IPM. However, we show that in this situation it is also possible to develop very efficient optimization methods, which satisfy all desired qualities, including the infeasible-start features. Our technique is based on asymmetric primal-dual barrier augmented by squared residual of the primal-dual linear system.

Suggested Citation

  • NESTEROV, Yurii, 2008. "Primal-dual interior-point methods with asymmetric barriers," LIDAM Discussion Papers CORE 2008057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:2008057
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