Regularized Symmetric Indefinite Systems in Interior Point Methods for Linear and Quadratic Optimization

A. Altman and J. Gondzio

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: This paper presents linear algebra techniques used in the implementation of an interior point method for solving linear programs and convex quadratic programs with linear constraint. The new regularization techniques for Newton equation system applicable to both symmetric positive definite and symmetric indefinite systems are described. They transform the latter to quasidefinite systems known to be strongly factorizable to a form of Cholesky-like factorization.

Keywords: LINEAR PROGRAMMING; OPTIMIZATION (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:98.6

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