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《《2016 On Interior-Point Warm starts for Linear and Combinatorial Optimization》.pdf
c
SIAM J. OPTIM. 2010 Society for Industrial and Applied Mathematics
Vol. 20, No. 4, pp. 1828–1861
ON INTERIOR-POINT WARMSTARTS FOR LINEAR AND
COMBINATORIAL OPTIMIZATION∗
ALEXANDER ENGAU† , MIGUEL F. ANJOS‡ , AND ANTHONY VANNELLI§
Abstract. Despite the many advantages of interior-point algorithms over active-set methods for
linear optimization, one of the remaining practical challenges is their current limitation to efficiently
solve series of related problems by an effective warmstarting strategy. As a remedy, in this paper
we present a new infeasible-interior-point approach to quickly reoptimize an initial problem instance
after data perturbations, or a new linear programming relaxation after adding cutting planes for
discrete or combinatorial problems. Based on the detailed complexity analysis of the underlying
algorithm, we perform a comparative analysis to coldstart initialization schemes and present encour-
aging computational results with iteration savings of around 50% on average for perturbations of
the Netlib linear programs (LPs) and successive linear programming relaxations of max-cut and the
traveling salesman problem.
Key words. interior-point methods, warmstarting, linear programming, Netlib test problems,
combinatorial optimization, cutting planes, maximum cut, traveling salesman problem
AMS subject classifications. 90C51, 90C27, 90C05, 65K05
DOI. 10.1137/080742786
1. Introduction. In this paper, we study linear programs (LPs) in primal-dual
standard form
(1.1a) (P) min cT x s.t. Ax = b, x ≥ 0,
(1.1b) (D) max bT y s.t. AT y + z = c, z ≥ 0,
with problem data d = (A, b, c) ∈ Rm ×n
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