《《2016 Interior-point methods for optimization》.pdf

c Acta Numerica (2009), pp. 001– Cambridge University Press, 2009 DOI: 10.1017/S0962492904 Printed in the United Kingdom Interior-point methods for optimization Arkadi S. Nemirovski School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia 30332, USA E-mail: arkadi.nemirovski@ Michael J. Todd School of Operations Research and Information Engineering, Cornell University, Ithaca, NY 14853, USA. E-mail: mjt7@ This article describes the current state of the art of interior-point methods (IPMs) for convex, conic, and general nonlinear optimization. We discuss the theory, outline the algorithms, and comment on the applicability of this class of methods, which have revolutionized the field over the last twenty years. CONTENTS 1 Introduction 1 2 The self-concordance-based approach to IPMs 4 3 Conic optimization 19 4 IPMs for nonconvex programming 36 5 Summary 38 References 39 1. Introduction During the last twenty years, there has been a revolution in the methods used to solve optimization problems. In the early 1980s, sequential quadratic programming and augmented Lagrangian methods were favored for nonlin- ear problems, while the simplex method was basically unchallenged for linear programming. Since then, modern in