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Títol: Improving an interior-point algorithm for multicommodity flows by quadratic regularizations
Autor: Castro Pérez, Jordi Veure Producció científica UPC; Cuesta, Jordi
Data: jul-2009
Tipus de document: External research report
Citació: DEIO DR 2009-09
Resum: One of the best approaches for some classes of multicommodity flow problems is a specialized interior-point method that solves the normal equations by a combination of Cholesky factorizations and preconditioned conjugate gradient. Its efficiency depends on the spectral radius—in [0,1)—of a certain matrix in the definition of the preconditioner. In a recent work the authors improved this algorithm (i.e., reduced the spectral radius) for general block-angular problems by adding a quadratic regularization to the logarithmic barrier. This barrier was shown to be self-concordant, which guarantees the convergence and polynomial complexity of the algorithm. In this work we focus on linear multicommodity problems, a particular case of primal block-angular ones. General results are tailored for multicommodity flows, allowing a local sensitivity analysis on the effect of the regularization. Extensive computational results on some standard and some difficult instances, testing several regularization strategies, are also provided. These results show that the regularized interior-point algorithm is more efficient than the nonregularized one. From this work it can be concluded that, if interior-point methods based on conjugate gradients are used, linear multicommodity flow problems are most efficiently solved as a sequence of quadratic ones.
URI: http://hdl.handle.net/2117/9884
Versió de l'editor: http://www-eio.upc.es/~jcastro/publications/reports/dr2009-09.pdf
Apareix a les col·leccions:GNOM - Grup d´Optimització Numèrica i Modelització. Reports de recerca
Departament d'Estadística i Investigació Operativa. Reports de recerca
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