Some iterative methods for the solution of a symmetric indefinite KKT system

This paper is concerned with the numerical solution of a Karush-Kuhn-Tucker system. Such symmetric indefinite system arises when we solve a nonlinear programming problem by an Interior-Point (IP) approach. In this framework, we discuss the effectiveness of two inner iterative solvers: the method of...

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Vydané v:Computational optimization and applications Ročník 38; číslo 1; s. 3 - 25
Hlavní autori: Bonettini, Silvia, Ruggiero, Valeria
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: New York Springer Nature B.V 01.09.2007
Predmet:
Algorithms
Comparative analysis
Iterative methods
Mathematical analysis
Methods
Nonlinear programming
Sparsity
Studies
ISSN:0926-6003, 1573-2894
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Shrnutí:This paper is concerned with the numerical solution of a Karush-Kuhn-Tucker system. Such symmetric indefinite system arises when we solve a nonlinear programming problem by an Interior-Point (IP) approach. In this framework, we discuss the effectiveness of two inner iterative solvers: the method of multipliers and the preconditioned conjugate gradient method. We discuss the implementation details of these algorithms in an IP scheme and we report the results of a numerical comparison on a set of large scale test-problems arising from the discretization of elliptic control problems. [PUBLICATION ABSTRACT]
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ISSN:0926-6003
1573-2894
DOI:10.1007/s10589-007-9039-7