A new proposal to improve the early iterations in the interior point method
| Autor: | Manolo Rodriguez Heredia, Aurelio Ribeiro Leite de Oliveira |
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| Rok vydání: | 2019 |
| Předmět: |
Preconditioner
Computer science Computation Diagonal Linear system MathematicsofComputing_NUMERICALANALYSIS General Decision Sciences Management Science and Operations Research Computer Science::Numerical Analysis Conjugate gradient method Computer Science::Mathematical Software Applied mathematics Interior point method Cholesky decomposition |
| Zdroj: | Annals of Operations Research. 287:185-208 |
| ISSN: | 1572-9338 0254-5330 |
| Popis: | We propose a modification that allows reducing the number of restarts in the computation of the Controlled Cholesky Factorization preconditioner. We use this preconditioner in the solution of linear systems arising from primal-dual interior point method. The Controlled Cholesky Factorization preconditioner depends on the fill-in parameter and the correction parameter that controls diagonal fault. We use geometric and algebraic tools to modify these parameters. In particular, we determine an equation whose exact solution avoids the diagonal fault. Numerical experiments with large-scale problems show that these modifications reduce the number of restarts. These experiments indicate that the new approach is robust and competitive. |
| Databáze: | OpenAIRE |
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