Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
Concept
Interior-point method
Summary
Interior-point methods (also referred to as barrier methods or IPMs) are a certain class of algorithms that solve linear and nonlinear convex optimization problems.
An interior point method was discovered by Soviet mathematician I. I. Dikin in 1967 and reinvented in the U.S. in the mid-1980s.
In 1984, Narendra Karmarkar developed a method for linear programming called Karmarkar's algorithm, which runs in provably polynomial time and is also very efficient in practice. It enabled solutions of linear programming problems that were beyond the capabilities of the simplex method. In contrast to the simplex method, it reaches a best solution by traversing the interior of the feasible region. The method can be generalized to convex programming based on a self-concordant barrier function used to encode the convex set.
Any convex optimization problem can be transformed into minimizing (or maximizing) a linear function over a convex set by converting to the epigraph form. The idea of encoding the feasible set using a barrier and designing barrier methods was studied by Anthony V. Fiacco, Garth P. McCormick, and others in the early 1960s. These ideas were mainly developed for general nonlinear programming, but they were later abandoned due to the presence of more competitive methods for this class of problems (e.g. sequential quadratic programming).
Yurii Nesterov, and Arkadi Nemirovski came up with a special class of such barriers that can be used to encode any convex set. They guarantee that the number of iterations of the algorithm is bounded by a polynomial in the dimension and accuracy of the solution.
The Chambolle-Pock algorithm, introduced in 2011, is an algorithm that efficiently solves convex optimization problems with minimization of a non-smooth cost function, involving primal-dual approach.
Karmarkar's breakthrough revitalized the study of interior-point methods and barrier problems, showing that it was possible to create an algorithm for linear programming characterized by polynomial complexity and, moreover, that was competitive with the simplex method.
Official source
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.