Lecture 19.2: ending with a bang: the (primal-dual) interior-point method
Completion requirements
Primal-dual interior-point methods for linear and quadratic problems: motivating idea (barrier function and the central path), KKT systems, linear algebra aspects, structured matrices. MATLAB implementation of the interior-point method for box-constrained convex Quadratic Programs: the Ferrari of constrained optimization (fast but costly). Comparison between the all the presented methods on a large instance: many different trade-offs. Conclusions.