Constraint-Preconditioned Krylov Solvers for Regularized Saddle-Point Systems
Daniela di Serafino (daniela.diserafinounicampania.it)
Abstract: We consider the iterative solution of regularized saddle-point systems. When the leading block is symmetric and positive semi-definite on an appropriate subspace, Dollar, Gould, Schilders, and Wathen (SIAM J. Matrix Anal. Appl., 28(1), 2006) describe how to apply the conjugate gradient (CG) method coupled with a constraint preconditioner, a choice that has proved to be effective in optimization applications. We investigate the design of constraint-preconditioned variants of other Krylov methods for regularized systems by focusing on the underlying basis-generation process. We build upon principles laid out by Gould, Orban, and Rees (SIAM J. Matrix Anal. Appl., 35(4), 2014) to provide general guidelines that allow us to specialize any Krylov method to regularized saddle-point systems. In particular, we obtain constraint-preconditioned variants of Lanczos and Arnoldi-based methods, including the Lanczos version of CG, MINRES, SYMMLQ, GMRES(m) and DQGMRES. We also provide MATLAB implementations in hopes that they are useful as a basis for the development of more sophisticated software. Finally, we illustrate the numerical behavior of constraint-preconditioned Krylov solvers using symmetric and nonsymmetric systems arising from constrained optimization.
Keywords: Regularized saddle-point systems, constraint preconditioners, Lanczos and Arnoldi procedures, Krylov solvers.
Category 1: Nonlinear Optimization
Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )
Citation: Cahier du GERAD G-2019-72, GERAD, Montréal, QC, Canada.
Entry Submitted: 10/06/2019
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