A comparison of reduced and unreduced KKT systems arising from interior point methods

Benedetta Morini (), Valeria Simoncini () and Mattia Tani ()
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Benedetta Morini: Università degli Studi di Firenze
Valeria Simoncini: Dipartimento di Matematica, Università di Bologna
Mattia Tani: Università di Pavia

Computational Optimization and Applications, 2017, vol. 68, issue 1, No 1, 27 pages

Abstract: Abstract We address the iterative solution of KKT systems arising in the solution of convex quadratic programming problems. Two strictly related and well established formulations for such systems are studied with particular emphasis on the effect of preconditioning strategies on their relation. Constraint and augmented preconditioners are considered, and the choice of the augmentation matrix is discussed. A theoretical and experimental analysis is conducted to assess which of the two formulations should be preferred for solving large-scale problems.

Keywords: Convex quadratic programming; Interior point methods; KKT systems; Preconditioners (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10589-017-9907-8

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