Stability and Accuracy of Inexact Interior Point Methods for Convex Quadratic Programming

Benedetta Morini () and Valeria Simoncini ()
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Benedetta Morini: Università degli Studi di Firenze
Valeria Simoncini: Università di Bologna

Journal of Optimization Theory and Applications, 2017, vol. 175, issue 2, No 8, 450-477

Abstract: Abstract We consider primal–dual interior point methods where the linear system arising at each iteration is formulated in the reduced (augmented) form and solved approximately. Focusing on the iterates close to a solution, we analyze the accuracy of the so-called inexact step, i.e., the step that solves the unreduced system, when combining the effects of both different levels of accuracy in the inexact computation and different processes for retrieving the step after block elimination. Our analysis is general and includes as special cases sources of inexactness due either to roundoff and computational errors or to the iterative solution of the augmented system using typical procedures. In the roundoff case, we recover and extend some known results.

Keywords: Convex quadratic programming; Primal–dual interior point methods; Inexact interior point steps; 65K05; 90C51; 90C06 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10957-017-1170-8

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