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Factorization of Saddle-point Matrices in Dynamical Systems Optimization - Reusing Pivots
- 1.0498994 - ÚI 2020 RIV US eng J - Journal Article
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
R&D Projects: GA ČR GA15-14484S
Institutional support: RVO:67985807
Keywords : Saddle-point matrix * Symmetric indefinite factorization * Dynamical systems * Sequential quadratic programming
OECD category: Applied mathematics
Impact factor: 0.988, year: 2019
Method of publishing: Limited access
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.
Permanent Link: http://hdl.handle.net/11104/0291276
Number of the records: 1