USE OF CONTINUED ITERATION ON THE REDUCTION OF ITERATIONS OF THE INTERIOR POINT METHOD

• Main Authors: Lilian F. Berti, Aurelio R.L. Oliveira, Carla T.L.S. Ghidini
• Format: Article
• Language: English
• Published: Sociedade Brasileira de Pesquisa Operacional
• Series: Pesquisa Operacional
• Subjects: interior point methods; linear programming; continued iteration
• Online Access: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382016000300487&lng=en&tlng=en

ABSTRACT Interior point methods have been widely used to determine the solution of large-scale linear programming problems. The predictor-corrector method stands out among all variations of interior point methods due to its efficiency and fast convergence. In each iteration it is necessary to solve two linear systems to determine the predictor-corrector direction. Solving such systems corresponds to the step which requires more processing time, and therefore, it should be done efficiently. The most common approach to solve them is the Cholesky factorization. However, Cholesky factorization demands a high computational effort in each iteration. Thus, searching for effort reduction, the continued iteration is proposed. This technique consists in determining a new direction through projection of the search direction and it was inserted into PCx code. The computational results regarding medium and large-scale problems, have indicated a good performance of the proposed approach in comparison with the predictor-corrector method.