Combinatorial Approaches to the Solution of Saddle-Point Problems in Large-Scale Parallel Interior-Point Optimization

Interior-point methods are among the most efficient approaches for solving large-scale nonlinear programming problems. At the core of these methods, highly ill-conditioned symmetric saddle-point problems have to be solved. We present combinatorial methods to preprocess these matrices in order to establish more favorable numerical properties for the subsequent factorization. Our approach is based on symmetric weighted matchings and is used in a sparse direct LDLT factorization method where the pivoting is restricted to static data structures. This technique can be seen as an alternative to the more traditional threshold pivoting techniques. We demonstrate the competitiveness of this approach within an interior-point method on a large set of test problems from the CUTE and COPS sets, as well as large optimal control problems based on partial differential equations. The largest nonlinear optimization problem solved has more than 12 million variables and 6 million constraints.

By: Olaf Schenk; Andreas Wächter; Michael Hagemann

Published in: Computational Optimization and Applications, volume 36, (no 2-3), pages 321-41 in 2007

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