General-purpose preconditioning for regularized interior point methods

Jacek Gondzio, Spyros Pougkakiotis*, John W Pearson

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

In this paper we present general-purpose preconditioners for regularized augmented systems, and their corresponding normal equations, arising from optimization problems. 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.
Original languageEnglish
JournalComputational optimization and applications
Early online date14 Nov 2022
DOIs
Publication statusE-pub ahead of print - 14 Nov 2022

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