Optimization and Systems Theory Seminar
Friday May 28, 2010, 11.00-12.00, Room 3733, Lindstedtsvägen 25
University of Edinburgh, Scotland , UK
Matrix-free interior point method
A redesign of Interior Point Methods (IPMs) for LP/QP problems
will be addressed. Its objective is to avoid an explicit access
to the problem data and to allow only matrix-vector products
to be executed with the Hessian and Jacobian and its transpose.
A use of iterative methods and a choice of suitable preconditioner
to solve reduced Newton systems arising in optimization with IPMs
will be discussed. A new fast preconditioner will be presented.
Its numerical properties will be analysed and its use will be
illustrated by computational results obtained for a collection
of small to medium scale optimization problems (with no more
than one million variables and with matrices limited to at most
10 million of nonzero elements).
Calendar of seminars
Last update: March 11, 2010.