Stochastic matrix-free equilibration

DOI10.1007/s10957-016-0990-2zbMath1367.65068arXiv1602.06621OpenAlexW2281470921MaRDI QIDQ2359773

Steven Diamond, Stephen P. Boyd

Publication date: 22 June 2017

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.06621

zbMATH Keywords

iterative algorithmstochastic optimizationconvex optimizationpreconditioningcondition numberscalingsmatrix balancing

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Stochastic programming (90C15) Numerical computation of matrix norms, conditioning, scaling (65F35) Preconditioners for iterative methods (65F08)

Related Items

Parallel accelerated Stokesian dynamics with Brownian motion, Accelerating the Sinkhorn-Knopp iteration by Arnoldi-type methods, Matrix-Free Convex Optimization Modeling, OSQP: An Operator Splitting Solver for Quadratic Programs

Uses Software

• LSQR
• Gurobi
• CVXPY
• SCS
• POGS

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