A preconditioning technique for Schur complement systems arising in stochastic optimization
نویسندگان
چکیده
منابع مشابه
A preconditioning technique for Schur complement systems arising in stochastic optimization
Deterministic sample average approximations of stochastic programming problems with recourse are suitable for a scenario-based parallelization. In this paper the parallelization is obtained by using an interior-point method and a Schur complement mechanism for the interior-point linear systems. However, the direct linear solves involving the dense Schur complement matrix are expensive, and adve...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2011
ISSN: 0926-6003,1573-2894
DOI: 10.1007/s10589-011-9418-y