Interior Point Methods Optimality conditions.pdf

A. Grothey, J. Gondzio Direct Parallel Solution of Systems of Dimension 109 School of Mathematics T H E U N I V E R S I T Y O F E D I N B U R G H Direct Parallel Solution of Linear Systems of Dimension 109 Andreas Grothey, Jacek Gondzio SIAM PP 2006, San Francisco 1 A. Grothey, J. Gondzio Direct Parallel Solution of Systems of Dimension 109 OOPS (Object Oriented Parallel Solver) ? Mantra: “Truly large scale problems are not only sparse but structured” (due to e.g. dynamics, uncertainty, spatial distribution etc.) ? Exploiting structure is key to building efficient IPMs for large problems: – Faster linear algebra – Reduced memory use (by use of implicit factorization) – Possibility to exploit (massive) parallelism – We assume that structure is known! ? no automatic detection. ? OOPS is a general purpose (parallel) IPM solver – Not tuned to any particular hardware – Not tuned to any particular problem (structure). ? OOPS currently solves LP/QP problems. ? NLP extension solves nonlinear financial planning problems SIAM PP 2006, San Francisco 2 A. Grothey, J. Gondzio Direct Parallel Solution of Systems of Dimension 109 Interior Point Methods min cx + 1 2 xQx s.t. Ax = b x ≥ 0 (QP) Optimality conditions: c + Qx ? Ay ? z = 0 Ax = b XZe = 0 (μe) x, z ≥ 0 ? Newton Step:[ ?Q ? Θ A A 0 ] [ ?x ?y ] = [ r h ] := [ Qx + c ? Ay ? μX?1e b ? Ax ] (NS-QP) where Θ = X?1Z, X = diag(x), Z = diag(z) SIAM PP 2006, San Francisco 3 A. Grothey, J. Gondzio Direct Parallel Solution of Systems of Dimension 109 Linear Algebra of IPMs Main work: solve [ ?Q ? Θ A A 0 ] ︸ ︷︷ ︸ Φ [ ?x ?y ] = [ r h ] for several right-hand-sides at each iteration ? Two stage solution procedure ? factorize Φ = LDL ? backsolve(s) to compute direction (?x, ?y) + corrections ? Φ changes numerically but not structurally at each iteration Key to efficient implementation is exploiting structure of Φ in these two steps SIAM PP 2006, San Francisco 4 A. Grothey, J. Gondzio Direct Parallel Solution of Systems of Dimension 109