《《2016 Interior-Point Methods for Linear Optimization》.pdf

Interior-Point Methods for Linear Optimization Kees Roos Faculty of Information Technology and Systems (ITS) Optimization Group TU Delft, Mekelweg 4 P.O. Box 5031, 2628 CD Delft The Netherlands URL: http://ssor.twi.tudelft.nl/˜roos e-mail: C.Roos@its.tudelft.nl June 21, 2006 Abstract The aim of this chapter to give an introduction to the recently developed Interior-Point Meth- ods. We restrict ourselves to the case of linear optimization. Much emphasis is put on the role of the central path of a problem, which plays a crucial role both in the theory and in the design of algorithms. The subject being extremely rich, some relevant references are given for topics that are not covered in this chapter. 1 Introduction Everyone with some background in Mathematics knows how to solve a system of linear equalities, since it is the basic subject in Linear Algebra. In many practical problems, however, also inequal- ities play a role. For example, a budget usually may not be larger than some specified amount. In such situations one may end up with a system of linear relations that not only contains equalities but also inequalities. Solving such a system requires methods and theory that go beyond the standard Mathematical knowledge. Nevertheless the topic has a rich history and is tightly related to the important topic of Linear Optimization, where the object is to find the optimal (minimal or maximal) value