This paper is concerned with the numerical solution of a symmetric indefinite system which is a generalization of the Karush Kuhn Tucker system. Following the recent approach of Luk.san and Vl.cek, we propose to solve this system by a preconditioned conjugate gradient (PCG) algorithm and we devise two indefin ite preconditioners with good theoretical properties. In particular, for one of these preconditioners, the finite termination property of the PCG method is stated. The PCG method combined with a parallel version of these preconditioners is used as inner solver within an inexact Interior-Point (IP) method for the solution of large and sparse quadratic programs. The numerical results obtained by a parallel code implementing the IP method on distributed memory multiprocessor systems enable us to confirm the effectiveness of the proposed approach for problems with special structure in the constraint matrix and in the objective function.
Indefinitely preconditioned conjugate gradient method for large sparse equality and inequality constrained quadratic problems
DURAZZI, Carla;RUGGIERO, Valeria
2003
Abstract
This paper is concerned with the numerical solution of a symmetric indefinite system which is a generalization of the Karush Kuhn Tucker system. Following the recent approach of Luk.san and Vl.cek, we propose to solve this system by a preconditioned conjugate gradient (PCG) algorithm and we devise two indefin ite preconditioners with good theoretical properties. In particular, for one of these preconditioners, the finite termination property of the PCG method is stated. The PCG method combined with a parallel version of these preconditioners is used as inner solver within an inexact Interior-Point (IP) method for the solution of large and sparse quadratic programs. The numerical results obtained by a parallel code implementing the IP method on distributed memory multiprocessor systems enable us to confirm the effectiveness of the proposed approach for problems with special structure in the constraint matrix and in the objective function.I documenti in SFERA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.