Interior-point solver for convex separable block-angular problems
Interior-point solver for convex separable block-angular problems
Constraints matrices with block-angular structures are pervasive in optimization. Interior-point methods have shown to be competitive for these structured problems by exploiting the linear algebra. One of these approaches solves the normal equations using sparse Cholesky factorizations for the block constraints, and a preconditioned conjugate gradient (PCG) for the linking …