A decomposition procedure based on approximate newton directions

Antonio J. Conejo, Francisco Javier Nogales Martín and Francisco Javier Prieto Fernández

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The efficient solution of large-scale linear and nonlinear optimization problems may require exploiting any special structure in them in an efficient manner. We describe and analyze some cases in which this special structure can be used with very little cost to obtain search directions from decomposed subproblems. We also study how to correct these directions using (decomposable) preconditioned conjugate gradient methods to ensure local convergence in all cases. The choice of appropriate preconditioners results in a natural manner from the structure in the problem. Finally, we conduct computational experiments to compare the resulting procedures with direct methods, as well as to study the impact of different preconditioner choices.

Date: 2001-01
New Economics Papers: this item is included in nep-cmp
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws010906

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