A New Unblocking Technique to Warmstart Interior Point Methods Based on Sensitivity Analysis

@article{Gondzio2008ANU,
  title={A New Unblocking Technique to Warmstart Interior Point Methods Based on Sensitivity Analysis},
  author={Jacek Gondzio and Andreas Grothey},
  journal={SIAM Journal on Optimization},
  year={2008},
  volume={19},
  pages={1184-1210}
}
One of the main drawbacks associated with Interior Point Methods (IPMs) is the perceived lack of an efficient warmstarting scheme which would enable the use of information from a previous solution of a similar problem. Recently there has been renewed interest in the subject. A common problem with warmstarting for IPM is that an advanced starting point which is close to the boundary of the feasible region, as is typical, might lead to blocking of the search direction. Several techniques have… CONTINUE READING

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  • We find that the resulting best combined warmstarting strategy manages to save between 50 and 60% of interior point iterations, consistently outperforming similar approaches reported in current optimization literature.

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