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Improving the preconditioning of linear systems from interior point methods

Grant number: 09/16171-3
Support Opportunities:Scholarships in Brazil - Doctorate
Effective date (Start): April 01, 2010
Effective date (End): July 31, 2014
Field of knowledge:Engineering - Production Engineering - Operational Research
Principal Investigator:Aurelio Ribeiro Leite de Oliveira
Grantee:Luciana Casacio
Host Institution: Faculdade de Engenharia Elétrica e de Computação (FEEC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil


The solution of linear optimization problems through interior point methods involves the solution of linear systems. These systems often have high dimensions and high sparsity degree, especially in real applications. Typically algebraic operations are performed to reduce the systems in two simpler formulations: one of them is known as the augmented system, and the other one, referred as normal equation systems, has a smaller dimension matrix which is symmetric positive definite.The solution of linear systems is the interior point methods step that requires most of the processing time. Consequently, the choice of the solution methods are extremely important in order to have an efficient implementation. Usually, direct methods are applied for solving these systems as, for example, Bunch-Parllett factorization or Cholesky factorization. However, in large scale problems, the use of direct methods becomes discouraging by limitations of time and memory. In such cases, iterative approaches are more attractive.The success of iterative method approaches depends on good preconditioners once the coefficient matrix becomes very ill-conditioned, especially close to an optimal solution. An alternative to treat the problem of ill conditioning is to use hybrid approaches with two phases: phase I uses a preconditioner for the normal equation systems built with incomplete factorizations information, called controlled Cholesky factorization; phase II, used in the final iterations, adopts the splitting preconditioner, which was developed specifically for such ill conditioned systems.This project proposes a new ordering criterion for the columns of the splitting preconditioner that preserves the sparse structure of the original coefficient matrix aiming improve the computational time and memory.

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Academic Publications
(References retrieved automatically from State of São Paulo Research Institutions)
CASACIO, Luciana. Improving the preconditioning of linear systems from interior point methods. 2015. Doctoral Thesis - Universidade Estadual de Campinas (UNICAMP). Faculdade de Engenharia Elétrica e de Computação Campinas, SP.

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