publication . Preprint . 2006

Scaling Sparse Matrices for Optimization Algorithms

Gajulapalli Ravindra S; Lasdon Leon S;
Open Access
  • Published: 05 Aug 2006
To iteratively solve large scale optimization problems in various contexts like planning, operations, design etc., we need to generate descent directions that are based on linear system solutions. Irrespective of the optimization algorithm or the solution method employed for the linear systems, ill conditioning introduced by problem characteristics or the algorithm or both need to be addressed. In [GL01] we used an intuitive heuristic approach in scaling linear systems that improved performance of a large scale interior point algorithm significantly. We saw a factor of 10*3* improvements in condition number estimates. In this paper, given our experience with opt...

Uriel G. Rothblum and Stavros A. Zenios. Scaling of matrices satisfying line-product constraints and generalizations. Linear Algebra and its Applications, 175:159-175, 1992. [OpenAIRE]

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