The parallel solution of dense saddle-point linear systems arising in stochastic programming

DOI10.1080/10556788.2011.602976zbMath1254.90140OpenAlexW2056598082MaRDI QIDQ5200564

Cosmin G. Petra, Miles Lubin, Mihai Anitescu

Publication date: 6 November 2012

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2011.602976

zbMATH Keywords

stochastic programmingparallel computingsaddle-pointparallel dense linear algebra

Mathematics Subject Classification ID

Stochastic programming (90C15) Parallel algorithms in computer science (68W10) Direct numerical methods for linear systems and matrix inversion (65F05)

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Uses Software

• ScaLAPACK
• PLAPACK
• PCx
• WSMP
• OOPS

Cites Work

• The Cholesky factorization in interior point methods
• Parallel interior-point solver for structured linear programs
• Exploiting structure in parallel implementation of interior point methods for optimization
• Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
• Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse
• Numerical solution of saddle point problems
• Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
• LAPACK Users' Guide
• ScaLAPACK Users' Guide
• Introduction to Stochastic Programming
• Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization
• Modified Cholesky Factorizations in Interior-Point Algorithms for Linear Programming
• Object-oriented software for quadratic programming

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