Besides Boyd’s Convex Programming book,
what’s the best resource for:
analysis + practical implementation of interior point algorithms?
Sign Up to our social questions and Answers Engine to ask questions, answer people’s questions, and connect with other people.
Login to our social questions & Answers Engine to ask questions answer people’s questions & connect with other people.
Lost your password? Please enter your email address. You will receive a link and will create a new password via email.
Please briefly explain why you feel this question should be reported.
Please briefly explain why you feel this answer should be reported.
Please briefly explain why you feel this user should be reported.
If you have Boyd’s book, you know about CVXOPT. Look inside of it. If you are interested in implementation details, looking at an implementation is invaluable. As with most complex numerical algorithms, you are going to be much better off using previously written code than writing your own, but you probably know that. There are many other interior point implementations available online for linear programing, SOCP, quadratic programming, convex programming, etc. I have also used OOQP, and looked a bit at the insides. It seemed straightforward enough.
I also liked the first edition of Numerical Optimization. I had a good, fairly practical, overview of predictor-corrector methods in the second half. The second edition is no doubt of similar quality.