Primal-dual Interior-point Methods
By (author) Stephen J. Wright
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Primal-dual Interior-point Methods by Stephen J. Wright
Book DescriptionIn the past decade, primal-dual algorithms have emerged as the most important and useful algorithms from the interior-point class. This book presents the major primal-dual algorithms for linear programming in straightforward terms. A thorough description of the theoretical properties of these methods is given, as are a discussion of practical and computational aspects and a summary of current software. This is an excellent, timely, and well-written work. The major primal-dual algorithms covered in this book are path-following algorithms (short- and long-step, predictor-corrector), potential-reduction algorithms, and infeasible-interior-point algorithms. A unified treatment of superlinear convergence, finite termination, and detection of infeasible problems is presented. Issues relevant to practical implementation are also discussed, including sparse linear algebra and a complete specification of Mehrotra's predictor-corrector algorithm. Also treated are extensions of primal-dual algorithms to more general problems such as monotone complementarity, semidefinite programming, and general convex programming problems.
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Book DetailsISBN: 9780898713824
(228mm x 152mm x 17mm)
Imprint: Society for Industrial & Applied Mathematics,U.S.
Publisher: Society for Industrial & Applied Mathematics,U.S.
Publish Date: 1-Jan-1987
Country of Publication: United States
Books By Author Stephen J. Wright
Linear Programming with MATLAB, Paperback (January 2008)
A self-contained introduction to linear programming using MATLAB(R) software.
Optimization Software Guide, Paperback (January 1987)» View all books by Stephen J. Wright
A discussion of the developments in optimization theory and the software packages that incorporate the results of theoretical research.
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