Adaptive use of iterative methods in interior point methods for linear programming
Adaptive use of iterative methods in interior point methods for linear programming
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A sequence of least squares problems of the form miny 驴G1/2(AT y - h)驴2 where G is an n 脳 n positive definite diagonal weight matrix, and A an m 脳 n (m n) sparse matrix with some dense columns; has many applications in linear programming, electrical networks, elliptic boundary value problems, and structural analysis. We discuss a technique for forming low-rank correction preconditioners for such problems. Finally we give numerical results to illustrate this technique.