Rice University

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Colloquium

Computational and Applied Mathematics
Dean of Engineering

Speaker: Joesph Young
President and Chief Scientist
OptimoJoe

A Matrix-Free Approach to a Predictor-Corrector Interior Point Method for Nonlinear Optimization Problems

Monday, February 13, 2017
3:00 PM  to 4:00 PM

1064  Duncan Hall
Rice University
6100 Main St
Houston, Texas, USA

In the following presentation, we present a new approach for implementing a matrix-free predictor-correct interior point method for nonlinear optimization problems with cone constraints. We begin by providing an overview of the Mehrotra predictor-corrector method for convex quadratic cone optimization problems and explain the difficulties using this approach in a matrix-free setting. Then, we present a variation to an existing Krylov method and demonstrate some of the properties valuable within an optimization setting. Finally, we combine these algorithms for a new interior point method and demonstrate its efficacy in parameter estimation by solving an imaging problem modeled with a PDE constrained optimization problem.



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