One perceived deficiency of interior-point methods in comparison to active set methods is their inability to efficiently re-optimize by solving closely related problems after a warmstart. In this paper, we investigate the use of a primal-dual penalty approach to overcome this problem. We prove exactness and convergence and show encouraging numerical results on a set of linear and mixed integer programming problems.
Working paper, September 2005
View An Exact Primal-Dual Penalty Method Approach to Warmstarting Interior-Point Methods for Linear Programming