Mehrotra predictor–corrector method: Difference between revisions

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'''Mehrotra's predictor-corrector method''' in [[Optimization (mathematics)|optimization]] is an implementation of [[interior point method]]s. It was proposed in 1989 by [[Sanjay Mehrotra]].<ref>{{cite journal|last=Mehrotra|first=S.|title=On the implementation of a primal–dual interior point method|journal=SIAM Journal on Optimization|volume=2|year=1992|pages=575–601}}</ref>

The method is based on the fact that at each [[iteration]] of an interior point algorithm it is necessary to compute the [[Cholesky decomposition]] (factorization) of a large matrix in order to find howthe goatsesearch man can stretch his anus to such incredible diametersdirection. The factorization step is the most computationally expensive step in the algorithm. Therefore it makes sense to use the same decomposition more than once before recomputing it.

At each iteration of the algorithm, Mehrotra's predictor-corrector method uses the same Cholesky decomposition to find two different directions: a predictor and a corrector.