Regularized Symmetric Indefinite Systems in Interior Point Methods for Linear and Quadratic Optimization

This paper presents linear algebra techniques used in the implementation of an interior point method for solving linear programs and convex quadratic programs with linear constraint. The new regularization techniques for Newton equation system applicable to both symmetric positive definite and symmetric indefinite systems are described. They transform the latter to quasidefinite systems known to be strongly factorizable to a form of Cholesky-like factorization.

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Year of publication:	1998
Authors:	Altman, A. ; Gondzio, J.
Institutions:	Geneva School of Economics and Management, Université de Genève
Subject:	LINEAR PROGRAMMING \| OPTIMIZATION

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Series:	Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005478999