《《2016 Intuition behind primal-dual interior-point methods for linear and quadratic programmin》.pdf

INTUITION BEHIND PRIMAL-DUAL INTERIOR-POINT METHODS FOR LINEAR AND QUADRATIC PROGRAMMING PETER CARBONETTO∗ 1. Linear programming. There are whole books devoted to the subject of lin- ear programming. The linear programming problem crops up in all sorts of courses, from mathematical economics to linear algebra. This short monograph cannot pos- sibly supplant any text or course. That being said, I find that most of the texts I have encountered present the key results in such a way that they are stripped of all meaning. The text leaves it up to the reader to do all the hard work in forming a connection between proof and application. In other words, most texts on linear programming are curiously devoid of intuition. There are, of course, exceptions [10]. I thought I’d take a few moments to give the basic intuition behind the interior- point approach to linear programming and, in particular, interior-point methods that take steps simultaneously in both the primal and dual variables. The 1992 article by Gonzaga [4] appears to be a well-presented and thorough review of the subject. Many of the derivations here follow from those presented in [7]. In its standard formulation, the linear program is stated as follows (see for instance [9, 12]). We are provided with a vector r of length n representing linear costs, and a collection of m constraints specified by the rows of an m ×n matrix A. We’ll assume as per the usual that the rows of A are linearly independent. The object is to minimize rT x subject to Ax = b, (1) x ≥ 0. Many, many problems in the scientific world, economics, and even in ordinary, every- day life can be cast as a