Symmetric Quasidefinite Matrices

نویسنده

  • Robert J. Vanderbei
چکیده

We say that a symmetric matrix K is quasi-definite if it has the form K = [ −E AT A F ] where E and F are symmetric positive definite matrices. Although such matrices are indefinite, we show that any symmetric permutation of a quasi-definite matrix yields a factorization LDLT . We apply this result to obtain a new approach for solving the symmetric indefinite systems arising in interior-point methods for linear and quadratic programming. These systems are typically solved either by reducing to a positive definite system or by performing a BunchParlett factorization of the full indefinite system at every iteration. Ours is an intermediate approach based on reducing to a quasi-definite system. This approach entails less fill-in than further reducing to a positive definite system but is based on a static ordering and is therefore more efficient than performing Bunch-Parlett factorizations of the original indefinite system.

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عنوان ژورنال:
  • SIAM Journal on Optimization

دوره 5  شماره 

صفحات  -

تاریخ انتشار 1995