Preconditioning Indefinite Systems in Interior Point Methods for Optimization
نویسندگان
چکیده
منابع مشابه
Preconditioning Indefinite Systems in Interior Point Methods for Optimization
Every Newton step in an interior-point method for optimization requires a solution of a symmetric indefinite system of linear equations. Most of today’s codes apply direct solution methods to perform this task. The use of logarithmic barriers in interior point methods causes unavoidable ill-conditioning of linear systems and, hence, iterative methods fail to provide sufficient accuracy unless a...
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We discuss the use of preconditioned conjugate gradients method for solving the reduced KKT systems arising in interior point algorithms for linear programming. The (indefinite) augmented system form of this linear system has a number of advantages, notably a higher degree of sparsity than the (positive definite) normal equations form. Therefore we use the conjugate gradients method to solve th...
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ژورنال
عنوان ژورنال: Computational Optimization and Applications
سال: 2004
ISSN: 0926-6003
DOI: 10.1023/b:coap.0000026882.34332.1b