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《《2016 Solving linear systems in interior-point methods》.pdf
Computers Operations Research 29 (2002 )317}326
Solving linear systems in interior-point methods
Tongryeol Seol*, Soondal Park
LG-EDS Systems Inc., LG Twin Towers, 20 Yoido-dong, Youngdungpo-gu, Seoul 150-604, South Korea
Department of Industrial Engineering, Seoul National University, Shillim-dong, Kwanak-gu, Seoul 151-742, South Korea
Received 1 October 1998; received in revised form 1 March 1999
Abstract
There are two approaches to solve the linear systems in interior-point methods: the normal equation
approach and the augmented system approach. We integrated the two methods by applying matrix
partitioning to the augmented system approach. Specically, we show the Schur complement method which
is applied to problems with dense columns is a special case of the augmented system approach. We will use
this property for the integrated approach. If we use the integrated approach, we can solve linear systems
maintaining sparsity of matrices without respect of the existence of dense columns.
Scope and purpose
Interior-point methods require a step to solve the linear systems for computing a new direction at every
iteration. Generally, we solve the linear systems by applying Cholesky factorization. When there is a dense
column, we can not exploit the sparsity of matrices. The most popular way of treating such a dense column
employs the Schur complement method or the augmented system approach. The Schur complement method
is faster than the augmented system approach, but su!ers from numerical unstability. We present a fast and
numerically stable approach by integrating former approaches. 2001 Published by Elsevier Science Ltd.
Keywords: Interior-point methods; Linear systems; The normal equation approach; The augmented system approach;
Matrix partitioning;
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