On mutual impact of numerical linear algebra and large-scale optimization with focus on interior point methods

Authors:
Marco D'Apuzzo;Valentina Simone;Daniela Serafino
Affiliations:
Department of Mathematics, Second University of Naples, Caserta, Italy;Department of Mathematics, Second University of Naples, Caserta, Italy;Department of Mathematics, Second University of Naples, Caserta, Italy
Venue:
Computational Optimization and Applications
Year:
2010

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Abstract

The solution of KKT systems is ubiquitous in optimization methods and often dominates the computation time, especially when large-scale problems are considered. Thus, the effective implementation of such methods is highly dependent on the availability of effective linear algebra algorithms and software, that are able, in turn, to take into account specific needs of optimization. In this paper we discuss the mutual impact of linear algebra and optimization, focusing on interior point methods and on the iterative solution of the KKT system. Three critical issues are addressed: preconditioning, termination control for the inner iterations, and inertia control.