Self-Regularity A New Paradigm for Primal-Dual Interior-Point Algorithms

Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the analysis and implementation of IPMs are the so-called small-update and large-update methods, although, until now, there has been a notorious gap b...

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Hlavní autori: Peng, Jiming, Roos, Cornelis, Terlaky, Tamás
Médium: E-kniha Kniha
Jazyk:English
Vydavateľské údaje: Princeton, N.J. ; Chichester Princeton University Press 2009
Vydanie:1
Edícia:Princeton series in applied mathematics
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ISBN:9780691091921, 0691091927, 0691091935, 9780691091938, 9781400825134, 140082513X
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Abstract Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the analysis and implementation of IPMs are the so-called small-update and large-update methods, although, until now, there has been a notorious gap between the theory and practical performance of these two strategies. This book comes close to bridging that gap, presenting a new framework for the theory of primal-dual IPMs based on the notion of the self-regularity of a function. The authors deal with linear optimization, nonlinear complementarity problems, semidefinite optimization, and second-order conic optimization problems. The framework also covers large classes of linear complementarity problems and convex optimization. The algorithm considered can be interpreted as a path-following method or a potential reduction method. Starting from a primal-dual strictly feasible point, the algorithm chooses a search direction defined by some Newton-type system derived from the self-regular proximity. The iterate is then updated, with the iterates staying in a certain neighborhood of the central path until an approximate solution to the problem is found. By extensively exploring some intriguing properties of self-regular functions, the authors establish that the complexity of large-update IPMs can come arbitrarily close to the best known iteration bounds of IPMs. Researchers and postgraduate students in all areas of linear and nonlinear optimization will find this book an important and invaluable aid to their work.
AbstractList Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the analysis and implementation of IPMs are the so-called small-update and large-update methods, although, until now, there has been a notorious gap between the theory and practical performance of these two strategies. This book comes close to bridging that gap, presenting a new framework for the theory of primal-dual IPMs based on the notion of the self-regularity of a function. The authors deal with linear optimization, nonlinear complementarity problems, semidefinite optimization, and second-order conic optimization problems. The framework also covers large classes of linear complementarity problems and convex optimization. The algorithm considered can be interpreted as a path-following method or a potential reduction method. Starting from a primal-dual strictly feasible point, the algorithm chooses a search direction defined by some Newton-type system derived from the self-regular proximity. The iterate is then updated, with the iterates staying in a certain neighborhood of the central path until an approximate solution to the problem is found. By extensively exploring some intriguing properties of self-regular functions, the authors establish that the complexity of large-update IPMs can come arbitrarily close to the best known iteration bounds of IPMs. Researchers and postgraduate students in all areas of linear and nonlinear optimization will find this book an important and invaluable aid to their work.
Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the analysis and implementation of IPMs are the so-called small-update and large-update methods, although, until now, there has been a notorious gap between the theory and practical performance of these two strategies. This book comes close to bridging that gap, presenting a new framework for the theory of primal-dual IPMs based on the notion of the self-regularity of a function. The authors deal with linear optimization, nonlinear complementarity problems, semidefinite optimization, and second-order conic optimization problems. The framework also covers large classes of linear complementarity problems and convex optimization. The algorithm considered can be interpreted as a path-following method or a potential reduction method. Starting from a primal-dual strictly feasible point, the algorithm chooses a search direction defined by some Newton-type system derived from the self-regular proximity. The iterate is then updated, with the iterates staying in a certain neighborhood of the central path until an approximate solution to the problem is found. By extensively exploring some intriguing properties of self-regular functions, the authors establish that the complexity of large-update IPMs can come arbitrarily close to the best known iteration bounds of IPMs. Researchers and postgraduate students in all areas of linear and nonlinear optimization will find this book an important and invaluable aid to their work.
Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the analysis and implementation of IPMs are the so-called small-update and large-update methods, although, until now, there has been a notorious gap between the theory and practical performance of these two strategies. This book comes close to bridging that gap, presenting a new framework for the theory of primal-dual IPMs based on the notion of the self-regularity of a function. The authors deal with linear optimization, nonlinear complementarity problems, semidefinite optimization, and second-order conic optimization problems. The framework also covers large classes of linear complementarity problems and convex optimization. The algorithm considered can be interpreted as a path-following method or a potential reduction method. Starting from a primal-dual strictly feasible point, the algorithm chooses a search direction defined by some Newton-type system derived from the self-regular proximity. The iterate is then updated, with the iterates staying in a certain neighborhood of the central path until an approximate solution to the problem is found. By extensively exploring some intriguing properties of self-regular functions, the authors establish that the complexity of large-update IPMs can come arbitrarily close to the best known iteration bounds of IPMs.
No detailed description available for "Self-Regularity".
Author Terlaky, Tamás
Roos, Cornelis
Peng, Jiming
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Keywords Polynomial
Technical report
McMaster University
Yurii Nesterov
Continuous optimization
Delft University of Technology
Explanation
Self-concordant function
Conic optimization
Result
Complexity
Loss function
Convex optimization
Variational inequality
Eigenvalues and eigenvectors
Invertible matrix
Nonlinear programming
Without loss of generality
Combinatorics
Duality gap
Sensitivity analysis
Estimation
Pattern recognition
Filter design
Algorithm
Matrix function
Function (mathematics)
Requirement
Feasible region
Karush–Kuhn–Tucker conditions
Derivative
Special case
Analysis of algorithms
Mathematical optimization
Time complexity
Simplex algorithm
Quadratic function
Solver
Monograph
Theory
Barrier function
Singular value
Embedding
Iteration
Combinatorial optimization
Implementation
Lipschitz continuity
Solution set
Associative property
Theorem
Local convergence
Block matrix
Jacobian matrix and determinant
Linear programming
Equation
Analytic function
Linear complementarity problem
Jordan algebra
Smoothness
Instance (computer science)
Variable (mathematics)
Simultaneous equations
Optimal control
Multiplication operator
Variational principle
Newton's method
Parameter
Scientific notation
Control theory
Optimization problem
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Snippet Research on interior-point methods (IPMs) has dominated the field of mathematical programming for the last two decades. Two contrasting approaches in the...
No detailed description available for "Self-Regularity".
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SubjectTerms Algorithm
Analysis of algorithms
Analytic function
Associative property
Barrier function
Block matrix
Combinatorial optimization
Combinatorics
Complexity
Conic optimization
Continuous optimization
Control theory
Convex optimization
Delft University of Technology
Derivative
Duality gap
Eigenvalues and eigenvectors
Embedding
Equation
Estimation
Explanation
Feasible region
Filter design
Function (mathematics)
General Topics for Engineers
Implementation
Instance (computer science)
Invertible matrix
Iteration
Jacobian matrix and determinant
Jordan algebra
Karush–Kuhn–Tucker conditions
Linear complementarity problem
Linear programming
Lipschitz continuity
Local convergence
Loss function
Mathematical optimization
MATHEMATICS
MATHEMATICS / Applied
MATHEMATICS / Optimization
Matrix function
McMaster University
Multiplication operator
Newton's method
Nonlinear programming
Optimal control
Optimization problem
Parameter
Pattern recognition
Polynomial
Programming (Mathematics)
Quadratic function
Requirement
Result
Scientific notation
Self-concordant function
Sensitivity analysis
Simplex algorithm
Simultaneous equations
Singular value
Smoothness
Solution set
Solver
Special case
Theorem
Theory
Time complexity
Variable (mathematics)
Variational inequality
Variational principle
Without loss of generality
Yurii Nesterov
SubjectTermsDisplay Mathematical optimization
Subtitle A New Paradigm for Primal-Dual Interior-Point Algorithms
TableOfContents Self-regularity:A new paradigm for primal-dual interior-point algorithms -- Contents -- Preface -- Acknowledgements -- Notation -- List of Abbreviations -- Chapter 1: Introduction and Preliminaries -- Chapter 2: Self-Regular Functions and Their Properties -- Chapter 3: Primal-Dual Algorithms for Linear Optimization Based on Self-Regular Proximities -- Chapter 4: Interior-Point Methods for Complementarity Problems Based on Self-Regular Proximities -- Chapter 5: Primal-Dual Interior-Point Methods for Semidefinite Optimization Based on Self-Regular Proximities -- Chapter 6: Primal-Dual Interior-Point Methods for Second-Order Conic Optimization Based on Self-Regular Proximities -- Chapter 7: Initialization: Embedding Models for Linear Optimization, Complementarity Problems, Semidefinite Optimization and Second-Order Conic Optimization -- Chapter 8: Conclusions -- References -- Index
Front Matter Table of Contents Preface Acknowledgments Notation List of Abbreviations Chapter 1: Introduction and Preliminaries Chapter 2: Self-Regular Functions and Their Properties Chapter 3: Primal-Dual Algorithms for Linear Optimization Based on Self-Regular Proximities Chapter 4: Interior-Point Methods for Complementarity Problems Based on Self-Regular Proximities Chapter 5: Primal-Dual Interior-Point Methods for Semidefinite Optimization Based on Self-Regular Proximities Chapter 6: Primal-Dual Interior-Point Methods for Second-Order Conic Optimization Based on Self-Regular Proximities Chapter 7: Initialization: Chapter 8: Conclusions References Index
5.3 New Search Directions for SDO -- 5.3.1 Scaling Schemes for SDO -- 5.3.2 Intermezzo: A Variational Principle for Scaling -- 5.3.3 New Proximities and Search Directions for SDO -- 5.4 New Polynomial Primal-Dual IPMs for SDO -- 5.4.1 The Algorithm -- 5.4.2 Complexity of the Algorithm -- Chapter 6. Primal-Dual Interior-Point Methods for Second-Order Conic Optimization Based on Self-Regular Proximities -- 6.1 Introduction to SOCO, Duality Theory and The Central Path -- 6.2 Preliminary Results on Functions Associated with Second-Order Cones -- 6.2.1 Jordan Algebra, Trace and Determinant -- 6.2.2 Functions and Derivatives Associated with Second-Order Cones -- 6.3 New Search Directions for SOCO -- 6.3.1 Preliminaries -- 6.3.2 Scaling Schemes for SOCO -- 6.3.3 Intermezzo: A Variational Principle for Scaling -- 6.3.4 New Proximities and Search Directions for SOCO -- 6.4 New IPMs for SOCO -- 6.4.1 The Algorithm -- 6.4.2 Complexity of the Algorithm -- Chapter 7. Initialization: Embedding Models for Linear Optimization, Complementarity Problems, Semidefinite Optimization and Second-Order Conic Optimization -- 7.1 The Self-Dual Embedding Model for LO -- 7.2 The Embedding Model for CP -- 7.3 Self-Dual Embedding Models for SDO and SOCO -- Chapter 8. Conclusions -- 8.1 A Survey of the Results and Future Research Topics -- References -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -- S -- T -- V -- W -- Y -- Z
Intro -- Contents -- Preface -- Acknowledgements -- Notation -- List of Abbreviations -- Chapter 1. Introduction and Preliminaries -- 1.1 Historical Background of Interior-Point Methods -- 1.1.1 Prelude -- 1.1.2 A Brief Review of Modern Interior-Point Methods -- 1.2 Primal-Dual Path-Following Algorithm for LO -- 1.2.1 Primal-Dual Model for LO, Duality Theory and the Central Path -- 1.2.2 Primal-Dual Newton Method for LO -- 1.2.3 Strategies in Path-following Algorithms and Motivation -- 1.3 Preliminaries and Scope of the Monograph -- 1.3.1 Preliminary Technical Results -- 1.3.2 Relation Between Proximities and Search Directions -- 1.3.3 Contents and Notational Abbreviations -- Chapter 2. Self-Regular Functions and Their Properties -- 2.1 An Introduction to Univariate Self-Regular Functions -- 2.2 Basic Properties of Univariate Self-Regular Functions -- 2.3 Relations Between S-R and S-C Functions -- Chapter 3. Primal-Dual Algorithms for Linear Optimization Based on Self-Regular Proximities -- 3.1 Self-Regular Functions in Rn++ and Self-Regular Proximities for LO -- 3.2 The Algorithm -- 3.3 Estimate of the Proximity After a Newton Step -- 3.4 Complexity of the Algorithm -- 3.5 Relaxing the Requirement on the Proximity Function -- Chapter 4. Interior-Point Methods for Complementarity Problems Based on Self-Regular Proximities -- 4.1 Introduction to CPs and the Central Path -- 4.2 Preliminary Results on P*(k) Mappings -- 4.3 New Search Directions for P*(k) CPs -- 4.4 Complexity of the Algorithm -- 4.4.1 Ingredients for Estimating the Proximity -- 4.4.2 Estimate of the Proximity After a Step -- 4.4.3 Complexity of the Algorithm for CPs -- Chapter 5. Primal-Dual Interior-Point Methods for Semidefinite Optimization Based on Self-Regular Proximities -- 5.1 Introduction to SDO, Duality Theory and Central Path -- 5.2 Preliminary Results on Matrix Functions
Chapter 4. Interior-Point Methods for Complementarity Problems Based on Self- Regular Proximities
Chapter 5. Primal-Dual Interior-Point Methods for Semidefinite Optimization Based on Self-Regular Proximities
Chapter 1. Introduction and Preliminaries
Index
Chapter 2. Self-Regular Functions and Their Properties
Chapter 6. Primal-Dual Interior-Point Methods for Second-Order Conic Optimization Based on Self-Regular Proximities
Notation
-
/
Contents
Acknowledgments
List of Abbreviations
References
Frontmatter --
Chapter 3. Primal-Dual Algorithms for Linear Optimization Based on Self-Regular Proximities
Preface
Chapter 7. Initialization: Embedding Models for Linear Optimization, Complementarity Problems, Semidefinite Optimization and Second-Order Conic Optimization
Chapter 8. Conclusions
Title Self-Regularity
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