Warm-Start Strategies in Interior-Point Methods for Linear Programming

Abstract. We study the situation in which, having solved a linear program with an interiorpoint method, we are presented with a new problem instance whose data is slightly perturbed from the original. We describe strategies for recovering a warm-start" point for the perturbed problem instance from the iterates of the original problem instance. We obtain worst-case estimates of the numberof iterationsrequiredto convergeto a solutionof the perturbedinstancefrom the warm-start points, showing that these estimates depend on the size of the perturbation and on the conditioning and other properties of the problem instances.

• Type: Journal
• Year: 2002
• Where: SIAMJO
• Authors: E. Alper Yildirim, Stephen J. Wright
• Keywords: Original Problem Instance, Perturbed Problem Instance, Problem Instances, SIAMJO 2002