Groupe d’études et de recherche en analyse des décisions

Tutorial: Interior-point methods from scratch

Mathieu Tanneau Polytechnique Montréal, Canada

This tutorial is aimed at a non-expert audience, and presents an overview of the core components of primal-dual interior-point methods for linear programming.

We introduce underlying theoretical concepts such as the primal-dual and barrier formulations, and the notion of central path. Practical aspects are also discussed, including linear algebra techniques and parallelization.

Finally, we point out the main pros and cons of interior-point algorithms, compared to the simplex method.

No prior knowledge of interior-point methods is required.

Supervisors: Miguel F. Anjos and Andrea Lodi

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