IFIP TC 7 / 2013 - Minisymposia
- Florian Jarre, Universität Düsseldorf, Germany
"New approaches for large scale semidefinite and doubly nonnegative
programs"
A stable symmetrization of the linear systems arising in interior-point
methods for solving linear and semidefinite programs is introduced. The symmetrization
includes a novel pivoting strategy to minimize the norm of the right and side.
As the search directions generated by the iterative solver will have fairly low relative accuracy, a new interior-point approach based on low accuracy search directions is presented and analyzed. In the numerical examples, this approach results in a surprisingly small number of outer iterations, indicating that the interior-point concept may also be suitable for ill-conditioned problems for which it is difficult to compute high accuracy search directions.
An application with doubly nonnegative matrices concludes the talk.
As the search directions generated by the iterative solver will have fairly low relative accuracy, a new interior-point approach based on low accuracy search directions is presented and analyzed. In the numerical examples, this approach results in a surprisingly small number of outer iterations, indicating that the interior-point concept may also be suitable for ill-conditioned problems for which it is difficult to compute high accuracy search directions.
An application with doubly nonnegative matrices concludes the talk.