Infeasibility detection with primal-dual hybrid gradient for large-scale linear programming

We study the problem of detecting infeasibility of large-scale linear programming problems using the primal-dual hybrid gradient method (PDHG) of Chambolle and Pock (2011). The literature on PDHG has mostly focused on settings where the problem at hand is assumed to be feasible. When the problem is not feasible, the iterates of the algorithm do … Read more

Infeasibility detection in the alternating direction method of multipliers for convex optimization

The alternating direction method of multipliers is a powerful operator splitting technique for solving structured optimization problems. For convex optimization problems, it is well-known that the algorithm generates iterates that converge to a solution, provided that it exists. If a solution does not exist, then the iterates diverge. Nevertheless, we show that they yield conclusive … Read more

ADMM for Convex Quadratic Programs: Linear Convergence and Infeasibility Detection

In this paper, we analyze the convergence of Alternating Direction Method of Multipliers (ADMM) on convex quadratic programs (QPs) with linear equality and bound constraints. The ADMM formulation alternates between an equality constrained QP and a projection on the bounds. Under the assumptions of: (i) positive definiteness of the Hessian of the objective projected on … Read more

A Sequential Quadratic Optimization Algorithm with Rapid Infeasibility Detection

We present a sequential quadratic optimization (SQO) algorithm for nonlinear constrained optimization. The method attains all of the strong global and fast local convergence guarantees of classical SQO methods, but has the important additional feature that fast local convergence is guaranteed when the algorithm is employed to solve infeasible instances. A two-phase strategy, carefully constructed … Read more

Dual versus primal-dual interior-point methods for linear and conic programming

We observe a curious property of dual versus primal-dual path-following interior-point methods when applied to unbounded linear or conic programming problems in dual form. While primal-dual methods can be viewed as implicitly following a central path to detect primal infeasibility and dual unboundedness, dual methods are implicitly moving {\em away} from the analytic center of … Read more