Factorization of Saddle-point Matrices in Dynamical Systems Optimization - Reusing Pivots

0498994 - ÚI 2020 RIV US eng J - Článek v odborném periodiku
Kuřátko, Jan
Factorization of Saddle-point Matrices in Dynamical Systems Optimization - Reusing Pivots.
Linear Algebra and Its Applications. Roč. 566, 1 April (2019), s. 61-85. ISSN 0024-3795. E-ISSN 1873-1856
Grant CEP: GA ČR GA15-14484S
Institucionální podpora: RVO:67985807
Klíčová slova: Saddle-point matrix * Symmetric indefinite factorization * Dynamical systems * Sequential quadratic programming
Obor OECD: Applied mathematics
Impakt faktor: 0.988, rok: 2019
Způsob publikování: Omezený přístup
http://dx.doi.org/10.1016/j.laa.2018.12.026

In this paper we consider the application of direct methods for solving a sequence of saddle-point systems. Our goal is to design a method that reuses information from one factorization and applies it to the next one. In more detail, when we compute the pivoted factorization we speed up computation by reusing already computed pivots and permutations. We develop our method in the frame of dynamical systems optimization. Experiments show that the method improves efficiency over Bunch-Parlett and Bunch-Kaufman while delivering the same results.
Trvalý link: http://hdl.handle.net/11104/0291276