J. Gondzio, S. Pougkakiotis and J. Pearson
Abstract
In this paper we present general-purpose preconditioners for regularized
augmented systems arising from optimization problems, and their corresponding
normal equations. We discuss positive definite preconditioners, suitable for CG
and MINRES. We consider "sparsifications" which avoid situations in which
eigenvalues of the preconditioned matrix may become complex. Special attention
is given to systems arising from the application of regularized interior point
methods to linear or nonlinear convex programming problems.
Text
PDF ERGO-21-004.pdf.
History:
Written: July 14, 2021.