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gonum / optimize

Packages for solving minimization problems [DEPRECATED]
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Add Predictor-Corrector and Self-Dual Interior Point solvers #172

Closed dane-unltd closed 5 years ago

dane-unltd commented 8 years ago

The interior point solvers I have written some time ago. There is a lot of code in there and not much documentation ... It is mostly based on the descriptions in http://www.siam.org/books/swright/ with some additional information on the self-dual approach from papers like http://link.springer.com/article/10.1007%2FBF02206815

The self-dual algorithm is preferred since it deals better with infeasible problems. I do not actually use the code, but both methods seem to work satisfactory. However, using the same tests as for the simplex algorithm, I had to reduce the tolerances when checking the output. The tolerances should probably be fixed anyway and not chosen by the user.

If you guys think that this would be a useful addition to the optimization package I will leave this pull-request open and try to clean up the code and add some documentation when I got some time.

vladimir-ch commented 5 years ago

Closing because this repository is no longer maintained. Development has moved to https://github.com/gonum/gonum.

I think it would be worth having this class of algorithms in Gonum, so @dane-unltd please feel free to submit a new PR in the new repository if you are still around and interested.