In this paper we analyze a class of approximate constraint preconditioners in the acceleration of Krylov subspace methods fot the solution of reduced Newton systems arising in optimization with interior point methods. We propose a dynamic sparsification of the Jacobian matrix at every stage of the interior point method. Spectral analysis of the preconditioned matrix is performed and bounds on its non-unit eigenvalues are provided. Preliminary computational results are encouraging.
Inexact Jacobian constraint preconditioners in optimization
BERGAMASCHI, LUCA;VENTURIN, MANOLO;ZILLI, GIOVANNI
2010
Abstract
In this paper we analyze a class of approximate constraint preconditioners in the acceleration of Krylov subspace methods fot the solution of reduced Newton systems arising in optimization with interior point methods. We propose a dynamic sparsification of the Jacobian matrix at every stage of the interior point method. Spectral analysis of the preconditioned matrix is performed and bounds on its non-unit eigenvalues are provided. Preliminary computational results are encouraging.
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