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Primal-Dual Interior Methods for Quadratic Programming

  • Author(s): Shustrova, Anna
  • et al.
Abstract

Interior methods are a class of computational methods for solving a con- strained optimization problem. Interior methods follow a continuous path to the solution that passes through the interior of the feasible region (i.e., the set of points that satisfy the constraints). Interior- point methods may also be viewed as methods that replace the constrained problem by a sequence of unconstrained problems in which the objective function is augmented by a weighted \barrier" term that is infinite at the boundary of the feasible region. Convergence to a solution of the constrained problem is achieved by solving a sequence of unconstrained problems in which the weight on the barrier term is steadily reduced to zero. This thesis concerns the formulation and analysis of interior methods for the solution of a quadratic programming (QP) problem, which is an optimization problem with a quadratic objective function and linear constraints. The linear constraints may include an arbitrary mixture of equality and inequality constraints, where the inequality constraints may be subject to lower and/or upper bounds. QP problems arise in a wide variety of applications. An important application is in sequential quadratic programming methods for nonlinear optimization, which involve minimizing a sequence of QP subproblems based on a quadratic approximation of the nonlinear objective function and a set of linearized nonlinear constraints. Two new interior methods for QP are proposed. Each is based on the properties of a barrier function defined in terms of both the primal and dual variables. The first method is suitable for a QP with all inequality constraints. At each iteration, the Newton equations for minimizing a quadratic model of the primal-dual barrier function are reformulated in terms of a symmetric indefinite system of equations that is solved using an inertia controlling factorization. This factorization provides an effective method for the detection and convexification of nonconvex problems. The second method is intended for problems with a mixture of equality and inequality constraints. In this case, the QP constraints are converted to so-called standard form and a primal-dual augmented Lagrangian is used to ensure the feasibility of the equality constraints in the limit

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