Solving Reduced KKT Systems in Barrier Methods for Linear and Quadratic Programming
Solving Reduced KKT Systems in Barrier Methods for Linear and Quadratic Programming
Abstract : In barrier methods for constrained optimization, the main work lies in solving large linear systems Kp = r, where K is symmetric and indefinite. We have implemented reduced KKT systems in a primal-dual algorithm for linear programming, based on the sparse indefinite solver MA27 from the Harwell Subroutine …