《《2016 Interior Point Methods 25 Years Later》.pdf

Interior Point Methods 25 Years Later∗ Jacek Gondzio† School of Mathematics and Maxwell Institute for Mathematical Sciences The University of Edinburgh Mayfield Road, Edinburgh EH9 3JZ United Kingdom. Technical Report ERGO-2011-003‡ February 23, 2011 Abstract Interior point methods for optimization have been around for more than 25 years now. Their presence has shaken up the field of optimization. Interior point methods for linear and (convex) quadratic programming display several features which make them particularly attractive for very large scale optimization. Among the most impressive of them are the low- degree polynomial worst-case complexity and an unrivalled ability to deliver optimal solutions in an almost constant number of iterations which depends very little, if at all, on the problem dimension. Interior point methods are competitive when dealing with small problems of dimensions below one million constraints and variables and are beyond competition when applied to large problems of dimensions going into millions of constraints and variables. In this survey we will discuss several issues related to interior point methods including the proof of worst-case complexity result, the reasons for their amazingly fast practical con- vergence and the features responsible for their ability to solve very large problems. The ever-growing sizes of optimization problems impose new requirements on optimi