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Full Record Details
DOI
10.5286/raltr.2014011
Persistent URL
http://purl.org/net/epubs/work/12246108
Record Status
Checked
Record Id
12246108
Title
Experiments using incomplete Cholesky factorization preconditioners for saddle-point systems arising in interior-point methods
Contributors
J Scott (STFC Rutherford Appleton Lab.)
Abstract
In the last couple of years there has been renewed interest in using a 3 x 3 block formulation of the symmetric indefinite sparse linear systems that arise from interior-point methods for quadratic optimization. This report presents a comparative study of factorizing the 2 x 2 and 3 x 3 block forms within an interior-point solver. We consider a sparse direct solver and then focus on using a new signed incomplete Cholesky factorization as a preconditioner for an iterative solver. The results confirm that the smaller 2 x 2 formulation should be used for the direct solver but for the iterative method, there is no conclusive winner.
Organisation
STFC
,
SCI-COMP
,
SCI-COMP-CM
Keywords
indefinite symmetric systems,
,
sparse linear systems,
,
iterative solvers,
,
sparse matrices,
,
incomplete Cholesky factorization.
,
interior-point methods,
,
saddle-point systems,
,
preconditioning,
,
AMS(MOS) subject classifications: 65F05, 65F50
Funding Information
Related Research Object(s):
Licence Information:
Language
English (EN)
Type
Details
URI(s)
Local file(s)
Year
Report
RAL-TR-2014-011. 2014.
RAL-TR-2014-011.pdf
2014
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