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A comparison of reduced and unreduced KKT systems arising from Interior Point methods

Benedetta Morini (benedetta.morini***at***unifi.it)
Valeria Simoncini (valeria.simoncini***at***unibo.it)
Mattia Tani (mattia.tani2***at***unibo.it)

Abstract: We address the iterative solution of symmetric KKT systems arising in the solution of convex quadratic programming problems. Two strictly related and well established formulations for such systems are studied with particular emphasis on the effect of preconditioning strategies on their relation. Constraint and augmented preconditioners are considered, and the choice of the augmentation Matrix is discussed. A theoretical and experimental analysis is conducted to assess which of the two formulations should be preferred for solving large-scale problems.

Keywords: convex quadratic programming, interior point methods, KKT systems, preconditioners

Category 1: Nonlinear Optimization (Quadratic Programming )


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Entry Submitted: 07/01/2014
Entry Accepted: 07/01/2014
Entry Last Modified: 11/15/2016

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