Differential Algebraic Equations in Primal Dual Interior Point Optimization Methods
作者:
Suat Kasap,
Theodore B. Trafalis,
期刊:
AIP Conference Proceedings
(AIP Available online 1904)
卷期:
Volume 729,
issue 1
页码: 347-354
ISSN:0094-243X
年代: 1904
DOI:10.1063/1.1814749
出版商: AIP
数据来源: AIP
摘要:
Primal dual Interior Point Methods (IPMs) generate points that lie in the neighborhood of the central trajectory. The key ingredient of the primal dual IPMs is the parameterization of the central trajectory. A new approach to the parameterization of the central trajectory is presented. Instead of parameterizing the central trajectory by the barrier parameter, it is parameterized by the time by describing a continuous dynamical system. Specifically, a new update rule based on the solution of an ordinary differential equation for the barrier parameter of the primal dual IPMs is presented. The resulting ordinary differential equation combined with the first order Karush‐Kuhn‐Tucker (KKT) conditions, which are algebraic equations, are called differential algebraic equations (DAEs). By solving DAEs, we find an optimal solution to the given problem. © 2004 American Institute of Physics
点击下载:
PDF
(131KB)
返 回