Solving the continuous nonlinear resource allocation problem with an interior point method
Optimization and Control
2014-07-25 v2
Abstract
Resource allocation problems are usually solved with specialized methods exploiting their general sparsity and problem-specific algebraic structure. We show that the sparsity structure alone yields a closed-form Newton search direction for the generic primal-dual interior point method. Computational tests show that the interior point method consistently outperforms the best specialized methods when no additional algebraic structure is available.
Cite
@article{arxiv.1305.1284,
title = {Solving the continuous nonlinear resource allocation problem with an interior point method},
author = {Stephen E. Wright and James J. Rohal},
journal= {arXiv preprint arXiv:1305.1284},
year = {2014}
}
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