On the Implementation of a Primal-Dual Interior Point Method

This paper gives an approach to implementing a second-order primal-dual interior point method. It uses a Taylor polynomial of second order to approximate a primal-dual trajectory. The computations for the second derivative are combined with the computations for the centering direction. Computations in this approach do not require that primal and dual solutions be feasible. Expressions are given to compute all the higher-order derivatives of the trajectory of interest. The implementation ensures that a suitable potential function is reduced by a constant amount at each iteration.

There are several salient features of this approach. An adaptive heuristic for estimating the centering parameter is given. The approach used to compute the step length is also adaptive. A new practical approach to compute the starting point is given. This approach treats primal and dual problems symmetrically.

Computational results on a subset of problems available from netlib are given. On mutually tested problems the results show that the proposed method requires approximately 40 percent fewer iterations than the implementation proposed in Lustig, Marsten, and Shanno [Tech. Rep. TR J-89-11, Georgia Inst. of Technology, Atlanta, 1989]. It requires approximately 50 percent fewer iterations than the dual affine scaling method in Adler, Karmarkar, Resende, and Veiga [Math. Programming, 44 (1989), pp. 297–336], and 35 percent fewer iterations than the second-order dual affine scaling method in the same paper. The new approach for estimating the centering parameter and finding the step length and the starting point have contributed to the reduction in the number of iterations. However, the contribution due to the use of second derivative is most significant.

On the tested problems, on the average the implementation shown was found to be approximately two times faster than OBl (version 02/90) described in Lustig, Marsten, and Shanno and 2.5 times faster than MINOS 5.3 described in Murtagh and Saunders [Tech. Rep. SOL 83-20, Dept. of Operations Research, Stanford Univ., Stanford, CA, 1983].