We discuss methods for solving the key linear equations within primal-dual barrier methods for linear and quadratic programming. Following Freund and Jarre, we explore methods for reducing the Newton equations to 2 x 2 block systems (KKT systems) in a stable manner. Some methods require partitioning the variables into two or more parts, but a simpler approach is derived and recommended. To justify symmetrizing the KKT systems, we assume the use of a sparse solver whose numerical properties are independent of row and column scaling. In particular, we regularize the problem and use indefinite Cholesky-type factorizations. An implementation within OSL is tested on the larger NETLIB examples.
By: Michael A. Saunders (Stanford Univ.) and John A. Tomlin
Published in: RJ10039 in 1996
This Research Report is not available electronically. Please request a copy from the contact listed below. IBM employees should contact ITIRC for a copy.
Questions about this service can be mailed to reports@us.ibm.com .