Linear systems arising in interior methods for convex optimization: a symmetric formulation with bounded condition number

DOI10.1080/10556788.2021.1965599MaRDI QIDQ5058377zbMATH OpenOpenAlexFDO

Authors Alexandre Ghannad, D. Orban, Michael A. Saunders

Publication date 20 December 2022

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10556788.2021.1965599

zbMATH Keywords

condition numberconvex optimizationeigenvalue boundseigenvaluesindefinite linear systemsinertiaprimal-dual interior methodsregularization

Mathematics Subject Classification ID

Numerical linear algebra (65Fxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx) Large-scale problems in mathematical programming (90C06) Quadratic programming (90C20) Interior-point methods (90C51)

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Cites work

• A Preconditioned Iterative Method for Saddlepoint Problems
• A primal-dual regularized interior-point method for convex quadratic programs
• Algorithm 832
• Benchmarking optimization software with performance profiles.
• Block Sparse Cholesky Algorithms on Advanced Uniprocessor Computers
• Bounds on Eigenvalues of Matrices Arising from Interior-Point Methods
• Constraint Preconditioning for Indefinite Linear Systems
• Constraint-Style Preconditioners for Regularized Saddle Point Problems
• Eigenvalue relations and conditions of matrices arising in linear programming
• Fast Iterative Solution of Stabilised Stokes Systems Part II: Using General Block Preconditioners
• Inertia-controlling factorizations for optimization algorithms
• Limited-memory LDL\(^{\top}\) factorization of symmetric quasi-definite matrices with application to constrained optimization
• LOQO:an interior point code for quadratic programming
• MA57---a code for the solution of sparse symmetric definite and indefinite systems
• Object-oriented software for quadratic programming
• On practical conditions for the existence and uniqueness of solutions to the general equality quadratic programming problem
• On the Stability of Cholesky Factorization for Symmetric Quasidefinite Systems
• PCx: an interior-point code for linear programming
• Preconditioning indefinite systems in interior point methods for optimization
• Solution of Sparse Indefinite Systems of Linear Equations
• Solving symmetric indefinite systems in an interior-point method for linear programming
• Spectral estimates for unreduced symmetric KKT systems arising from Interior Point methods
• SYM-ILDL: Incomplete LDL\(^{\mathrm T}\) factorization of symmetric indefinite and skew-symmetric matrices
• Symmetric Quasidefinite Matrices

Cited in

(2)

• On GSOR, the Generalized Successive Overrelaxation Method for Double Saddle-Point Problems
• Second-order cone programming for frictional contact mechanics using interior point algorithm

Describes a project that uses

Uses Software

• MA27
• PCx
• SuiteSparse
• UMFPACK
• LOQO
• PDCO
• MA57
• Matlab
• SYM-ILDL
• OOQP
• MINRES

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