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Symmetric indefinite systems for interior point methods. (English) Zbl 0791.90033
Summary: We present a unified framework for solving linear and convex quadratic programs via interior point methods. At each iteration, this method solves an indefinite system whose matrix is \(\left[{-D^{-2}\atop A}{A^ T\atop 0}\right]\) instead of reducing to obtain the usual \(AD^ 2 A^ T\) system. This methodology affords two advantages: (1) it avoids the fill created by explicitly forming the product \(AD^ 2 A^ T\) when \(A\) has dense columns; and (2) it can easily be used to solve nonseparable quadratic programs since it requires only that \(D\) be symmetric. We also present a procedure for converting nonseparable quadratic programs to separable ones which yields computational savings when the matrix of quadratic coefficients is dense.

90C05 Linear programming
90C25 Convex programming
90C20 Quadratic programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
ALPO; MINOS; symrcm
Full Text: DOI
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