Group for Research in Decision Analysis

G-2020-37

A symmetric formulation of the linear system arising in interior methods for convex optimization with bounded condition number

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We provide eigenvalues bounds for a new formulation of the step equations in interior methods for convex quadratic optimization. The matrix of our formulation, named \(K_{2.5}\), has bounded condition number, converges to a well-defined limit under strict complementarity, and has the same size as the traditional, ill-conditioned, saddle-point formulation. We evaluate the performance in the context of a Matlab object-oriented implementation of PDCO, an interior-point solver for minimizing a smooth convex function subject to linear constraints. The main benefit of our implementation, named PDCOO, is to separate the logic of the interior-point method from the formulation of the system used to compute a step at each iteration and the method used to solve the system. Thus, PDCOO allows easy addition of a new system formulation and/or solution method for experimentation. Our numerical experiments indicate that the \(K_{2.5}\) formulation has the same storage requirements as the traditional ill-conditioned saddle-point formulation, and its condition is substantially more favorable than the unsymmetric block \(3 \times 3\) formulation.

, 26 pages