Regularized Symmetric Indefinite Systems in Interior Point Methods for Linear and Quadratic Optimization

@article{altman99regular, abstract = {This paper presents linear algebra techniques used in the implementation of an interior point method for solving linear programs and convex quadratic programs with linear constraints. New regularization techniques for Newton systems applicable to both symmetric positive definite and symmetric indefinite systems are described. They transform the latter to quasidefinite systems known to be strongly factorizable to a form of Cholesky-like factorization. Two different regularization techniques,...}, author = {Altman, Anna and Gondzio, Jacek }, citeulike-article-id = {796592}, journal = {Optimization Methods and Software}, keywords = {bsc-math-thesis, ipm, lp, numerics, optimization}, pages = {275--302}, posted-at = {2006-08-10 21:32:21}, priority = {2}, title = {Regularized Symmetric Indefinite Systems in Interior Point Methods for Linear and Quadratic Optimization}, url = {http://citeseer.ist.psu.edu/altman98regularized.html}, volume = {11}, year = {1999} }

TY - JOUR ID - altman99regular L3 - citeulike-article-id:796592 TI - Regularized Symmetric Indefinite Systems in Interior Point Methods for Linear and Quadratic Optimization JF - Optimization Methods and Software VL - 11 SP - 275 EP - 302 N2 - This paper presents linear algebra techniques used in the implementation of an interior point method for solving linear programs and convex quadratic programs with linear constraints. New regularization techniques for Newton systems applicable to both symmetric positive definite and symmetric indefinite systems are described. They transform the latter to quasidefinite systems known to be strongly factorizable to a form of Cholesky-like factorization. Two different regularization techniques,... KW - bsc-math-thesis KW - ipm KW - lp KW - numerics KW - optimization AU - Altman, Anna AU - Gondzio, Jacek PY - 1999/// UR - http://citeseer.ist.psu.edu/altman98regularized.html ER -