Factorization of saddle-point matrices in dynamical systems optimization -- reusing pivots

DOI10.1016/J.LAA.2018.12.026zbMATH Open1410.65079arXiv1703.09012OpenAlexW2907389642MaRDI QIDQ1736232FDOQ1736232

Authors: Jan Kuřátko 

Publication date: 26 March 2019

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: In this paper we consider the application of direct methods for solving a sequence of saddle-point systems. Our goal is to design a method that reuses information from one factorization and applies it to the next one. In more detail, when we compute the pivoted $LD{L}^T$ factorization we speed up computation by reusing already computed pivots and permutations. We develop our method in the frame of dynamical systems optimization. Experiments show that the method improves efficiency over Bunch-Parlett while delivering the same results.

Full work available at URL: https://arxiv.org/abs/1703.09012

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zbMATH Keywords

dynamical systemssequential quadratic programmingsaddle-point matrixsymmetric indefinite factorization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Direct numerical methods for linear systems and matrix inversion (65F05) Computational methods for sparse matrices (65F50) Nonlinear programming (90C30)

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Uses Software

• MA57
• PARDISO
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• mctoolbox
• Stabhyli

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