Inexact Jacobian Constraint Preconditioners in Optimization
نویسندگان
چکیده
In this paper we analyze a class of approximate constraint preconditioners in the acceleration of Krylov subspace methods fot the solution of reduced Newton systems arising in optimization with interior point methods. We propose a dynamic sparsification of the Jacobian matrix at every stage of the interior point method. Spectral analysis of the preconditioned matrix is performed and bounds on its non-unit eigenvalues are provided. Preliminary computational results are encouraging.
منابع مشابه
Inexact constraint preconditioners for linear systems arising in interior point methods
Issues of indefinite preconditioning of reduced Newton systems arising in optimization with interior point methods are addressed in this paper. Constraint preconditioners have shown much promise in this context. However, there are situations in which an unfavorable sparsity pattern of Jacobian matrix may adversely affect the preconditioner and make its inverse representation unacceptably dense ...
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