A Preconditioner for Linear Systems Arising From Interior Point Optimization Methods

@article{Rees2007APF,
  title={A Preconditioner for Linear Systems Arising From Interior Point Optimization Methods},
  author={T. Rees and Chen Greif},
  journal={SIAM J. Sci. Comput.},
  year={2007},
  volume={29},
  pages={1992-2007}
}
  • T. ReesC. Greif
  • Published 1 September 2007
  • Computer Science
  • SIAM J. Sci. Comput.
We explore a preconditioning technique applied to the problem of solving linear systems arising from primal-dual interior point algorithms in linear and quadratic programming. The preconditioner has the attractive property of improved eigenvalue clustering with increased ill-conditioning of the (1,1) block of the saddle point matrix. It fits well into the optimization framework since the interior point iterates yield increasingly ill-conditioned linear systems as the solution is approached. We… 

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