102 citations · 320 across the 34 of their papers we have counts for
6 papers · 1 filter
A New Preconditioning Approach for an Interior Point-Proximal Method of Multipliers for Linear and Convex Quadratic Programming
Luca Bergamaschi, Jacek Gondzio, Ángeles Martínez +2
In this paper, we address the efficient numerical solution of linear and quadratic programming problems, often of large scale. With this aim, we devise an infeasible interior point…
A relaxed interior point method for low-rank semidefinite programming problems with applications to matrix completion
Stefania Bellavia, Jacek Gondzio, Margherita Porcelli
A new relaxed variant of interior point method for low-rank semidefinite programming problems is proposed in this paper. The method is a step outside of the usual interior point fr…
Fast Solution Methods for Convex Quadratic Optimization of Fractional Differential Equations
Spyridon Pougkakiotis, John W. Pearson, Santolo Leveque +1
In this paper, we present numerical methods suitable for solving convex quadratic Fractional Differential Equation (FDE) constrained optimization problems, with box constraints on…
Optimising portfolio diversification and dimensionality
Mathias Barkhagen, Brian Fleming, Sergio Garcia Quiles +5
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance approach and portfolio allocation strategies such as risk parity. It is ba…
An Interior Point-Proximal Method of Multipliers for Convex Quadratic Programming
Spyridon Pougkakiotis, Jacek Gondzio
In this paper we combine an infeasible Interior Point Method (IPM) with the Proximal Method of Multipliers (PMM). The resulting algorithm (IP-PMM) is interpreted as a primal-dual r…
Dynamic Non-Diagonal Regularization in Interior Point Methods for Linear and Convex Quadratic Programming
Spyridon Pougkakiotis, Jacek Gondzio
In this paper, we present a dynamic non-diagonal regularization for interior point methods. The non-diagonal aspect of this regularization is implicit, since all the off-diagonal e…