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DOI 10.5286/raltr.2014011
Persistent URL http://purl.org/net/epubs/work/12246108
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Record Id 12246108
Title Experiments using incomplete Cholesky factorization preconditioners for saddle-point systems arising in interior-point methods
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
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Language English (EN)
Type Details URI(s) Local file(s) Year
Report RAL-TR-2014-011. 2014. RAL-TR-2014-011.pdf 2014