SCAIM Seminar: Dominique Orban (École Polytechnique Montréal)

  • Date: 11/30/2010
Lecturer(s):

Dominique Orban (Mathematics, Polytechnique Montréal)

 

Location: 

University of British Columbia

Topic: 

A Primal-Dual Regularized Interior-Point Method for Convex Quadratic Programs

Description: 

Interior-point methods for linear and convex quadratic programming require the solution of a sequence of symmetric indefinite linear systems to derive search directions. Safeguards are typically required to handle free variables or rank-deficient constraints. We propose a consistent framework and accompanying theoretical justification for regularizing these linear systems. Our approach is akin to the proximal method of multipliers and can be interpreted as a simultaneous proximal-point regularization of the primal and dual problems. The regularization is termed "exact" to emphasize that, although the problems are regularized, the algorithm recovers a solution of the original problem. Numerical results will be presented. If time permits we will illustrate current research on a matrix-free implementation. This is joint work with Michael Friedlander, University of British Columbia, Canada.

 

Schedule: 

12:30pm -- 2:00pm, WMAX 110

Pizza and pop will be provided!

Other Information: 

For details, please visit the official website at

http://www.iam.ubc.ca/event-categories#scaim_seminars

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