A PREDICTOR-CORRECTOR INTERIOR-POINT ALGORITHM FOR CONVEX QUADRATIC PROGRAMMING  

作　　者：Liang Ximing(梁昔明) Qian Jixin(钱积新) 

机构地区：[1]College of Information Science ＆ Engineering, Central South University, Changsha 410083 Institute of Systems Engineering, National Lab of Industrial Control Technology, Zhejiang University, Hangzhou 310027

出　　处：《Numerical Mathematics A Journal of Chinese Universities(English Series)》2002年第1期52-62,共11页

摘　　要：The simplified Newton method, at the expense of fast convergence, reduces the work required by Newton method by reusing the initial Jacobian matrix. The composite Newton method attempts to balance the trade-off between expense and fast convergence by composing one Newton step with one simplified Newton step. Recently, Mehrotra suggested a predictor-corrector variant of primal-dual interior point method for linear programming. It is currently the interiorpoint method of the choice for linear programming. In this work we propose a predictor-corrector interior-point algorithm for convex quadratic programming. It is proved that the algorithm is equivalent to a level-1 perturbed composite Newton method. Computations in the algorithm do not require that the initial primal and dual points be feasible. Numerical experiments are made.The simplified Newton method, at the expense of fast convergence, reduces the work required by Newton method by reusing the initial Jacobian matrix. The composite Newton method attempts to balance the trade-off between expense and fast convergence by composing one Newton step with one simplified Newton step. Recently, Mehrotra suggested a predictor-corrector variant of primal-dual interior point method for linear programming. It is currently the interior-point method of the choice for linear programming. In this work we propose a predictor-corrector interior-point algorithm for convex quadratic programming. It is proved that the algorithm is equivalent to a level-1 perturbed composite Newton method. Computations in the algorithm do not require that the initial primal and dual points be feasible. Numerical experiments are made.

关 键 词：CONVEX QUADRATIC programming  INTERIOR-POINT methods  PREDICTOR-CORRECTOR algorithms  NUMERICAL experiments. 

分 类 号：O24[理学—计算数学]