A preconditioning technique for Schur complement systems arising in stochastic optimization
From MaRDI portal
Publication:453622
DOI10.1007/s10589-011-9418-yzbMath1275.90048OpenAlexW2000856205MaRDI QIDQ453622
Cosmin G. Petra, Mihai Anitescu
Publication date: 27 September 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-011-9418-y
stochastic programminginterior-point methodparallel computingKrylov methodssaddle-point preconditioningsample average approximations
Related Items
Solving security constrained optimal power flow problems by a structure exploiting interior point method, Clustering-based preconditioning for stochastic programs, COAP 2013 Best Paper Prize, A massively parallel interior-point solver for LPs with generalized arrowhead structure, and applications to energy system models, On block diagonal-Schur complements of the block strictly doubly diagonally dominant matrices
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- HOPDM (version 2. 12) -- a fast LP solver based on a primal-dual interior point method
- Solving a class of LP problems with a primal-dual logarithmic barrier method
- Parallel interior-point solver for structured linear programs
- Efficient solution of two-stage stochastic linear programs using interior point methods
- Decomposition algorithms for stochastic programming on a computational grid
- A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs
- Preconditioning indefinite systems in interior point methods for optimization
- A Mehrotra-type predictor-corrector algorithm with polynomiality and \(Q\)-subquadratic convergence
- On augmented Lagrangian decomposition methods for multistage stochastic programs
- Exploiting structure in parallel implementation of interior point methods for optimization
- Interior-point solver for large-scale quadratic programming problems with bound constraints
- On mutual impact of numerical linear algebra and large-scale optimization with focus on interior point methods
- Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
- On the Solution of Equality Constrained Quadratic Programming Problems Arising in Optimization
- A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
- Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse
- Elemental
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Numerical solution of saddle point problems
- Lectures on Stochastic Programming
- On the Implementation of Interior Point Decomposition Algorithms for Two-Stage Stochastic Conic Programs
- A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
- A regularized decomposition method for minimizing a sum of polyhedral functions
- Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- On the Implementation of a Primal-Dual Interior Point Method
- On Implementing Mehrotra’s Predictor–Corrector Interior-Point Method for Linear Programming
- Some Stable Methods for Calculating Inertia and Solving Symmetric Linear Systems
- Introduction to Stochastic Programming
- Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization
- Constraint Preconditioning for Indefinite Linear Systems
- A Specialized Interior-Point Algorithm for Multicommodity Network Flows
- A Note on Preconditioning for Indefinite Linear Systems
- Existence of Interior Points and Interior Paths in Nonlinear Monotone Complementarity Problems
- Properties of an Interior-Point Mapping for Mixed Complementarity Problems
- Decomposition‐Based Interior Point Methods for Two‐Stage Stochastic Semidefinite Programming
- Object-oriented software for quadratic programming
- Approximate Factorization Constraint Preconditioners for Saddle-Point Matrices
- Implicit-Factorization Preconditioning and Iterative Solvers for Regularized Saddle-Point Systems
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Parallel Processing and Applied Mathematics
- A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs
