TY - RPRT

T1 - On Implementing a Homogeneous Interior-Point Algorithm for Nonsymmetric Conic Optimization

AU - Skajaa, Anders

AU - Jørgensen, John Bagterp

AU - Hansen, Per Christian

PY - 2011

Y1 - 2011

N2 - Based on earlier work by Nesterov, an implementation of a homogeneous infeasible-start
interior-point algorithm for solving nonsymmetric conic optimization problems is presented.
Starting each iteration from (the vicinity of) the central path, the method computes (nearly)
primal-dual symmetric approximate tangent directions followed by a purely primal centering
procedure to locate the next central primal-dual point. Features of the algorithm include
that it makes use only of the primal barrier function, that it is able to detect infeasibilities
in the problem and that no phase-I method is needed. The method further employs quasi-
Newton updating both to generate (pseudo) higher order directions and to reduce the number
of factorizations needed in the centering process while still retaining the ability to exploit
sparsity. Extensive and promising computational results are presented for the p-cone problem,
the facility location problem, entropy problems and geometric programs; all formulated as
nonsymmetric conic optimization problems.

AB - Based on earlier work by Nesterov, an implementation of a homogeneous infeasible-start
interior-point algorithm for solving nonsymmetric conic optimization problems is presented.
Starting each iteration from (the vicinity of) the central path, the method computes (nearly)
primal-dual symmetric approximate tangent directions followed by a purely primal centering
procedure to locate the next central primal-dual point. Features of the algorithm include
that it makes use only of the primal barrier function, that it is able to detect infeasibilities
in the problem and that no phase-I method is needed. The method further employs quasi-
Newton updating both to generate (pseudo) higher order directions and to reduce the number
of factorizations needed in the centering process while still retaining the ability to exploit
sparsity. Extensive and promising computational results are presented for the p-cone problem,
the facility location problem, entropy problems and geometric programs; all formulated as
nonsymmetric conic optimization problems.

M3 - Report

T3 - IMM-Technical Report-2011-02

BT - On Implementing a Homogeneous Interior-Point Algorithm for Nonsymmetric Conic Optimization

PB - Technical University of Denmark, DTU Informatics, Building 321

CY - Kgs. Lyngby

ER -