Modified Cholesky Factorizations in Interior-Point Algorithms for Linear Programming

DOI10.1137/S1052623496304712zbMath0957.65055WikidataQ114073901 ScholiaQ114073901MaRDI QIDQ4702328

Stephen J. Wright

Publication date: 24 November 1999

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

linear programminginterior-point algorithmsnumerical exampleserror analysisCholesky factorizationmatrix perturbations

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Interior-point methods (90C51)

Related Items

The practical behavior of the homogeneous self-dual formulations in interior point methods, Projected orthogonal vectors in two-dimensional search interior point algorithms for linear programming, The interior-point revolution in optimization: History, recent developments, and lasting consequences, On the low-rank approximation by the pivoted Cholesky decomposition, Warmstarting the homogeneous and self-dual interior point method for linear and conic quadratic problems, Regularization techniques in interior point methods, Application of interior-point methods to model predictive control, Stabilization of Mehrotra's primal-dual algorithm and its implementation, Product-form Cholesky factorization in interior point methods for second-order cone programming, The parallel solution of dense saddle-point linear systems arising in stochastic programming, Design of cross-directional controllers with optimal steady state performance, Implementation of interior-point methods for LP based on Krylov subspace iterative solvers with inner-iteration preconditioning, PCx: an interior-point code for linear programming, The Cholesky factorization in interior point methods

Uses Software

• HOPDM
• LIPSOL
• mctoolbox