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SIAM Journal on Optimization

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The regularization of a convex program is exact if all solutions of the regularized problem are also solutions of the original problem for all values of the regularization parameter below some positi...

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On Handling Free Variables in Interior-Point Methods for Conic Linear Optimization

SIAM J. Optim. Volume 18, Issue 4, pp. 1310-1325 (2007)

Published November 7, 2007
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We revisit a regularization technique of Mészáros for handling free variables within interior-point methods for conic linear optimization. We propose a simple computational strategy, supported by a global convergence analysis, for handling the regularization. Using test problems from benchmark suites and recent applications, we demonstrate that the modern code SDPT3 modified to incorporate the proposed regularization is able to achieve the same or significantly better accuracy over standard options of splitting variables, using a quadratic cone, and solving indefinite systems.

©2007 Society for Industrial and Applied Mathematics
History: Received August 27, 2006; accepted August 3, 2007; published November 7, 2007
Permalink: http://dx.doi.org/10.1137/06066847X

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ISSN:
1052-6234 (print)   1095-7189 (online)
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