Title:
|
Computational methods for large-scale quadratic programming
|
For theoretical and practical reasons, quadratic programming problems have attracted
the interest of the mathematical programming community. They naturally
arise from applications and as subproblems in other numerical techniques. However
most existing techniques, designed for solving small and dense problems, tend to be
prohibitively expensive when applied directly to solve large-scale problems. In this
work we explore methods suitable for solving large-scale sparse convex quadratic
programming problems.
An interior-point primal-dual algorithmic framework and its computational implementation
are presented in the first part of this work. Primal and dual updates
are computed at each step by iteratively solving the linear systems posed by the classical
method of barriers using a preconditioned Krylov-subspace method. Several
variants are suggested by a Taylor approximation of the central path. A truncated
Newton strategy has been implemented in order to achieve a significant reduction
in the CPU time.
In the second part, sparse implementations for Lemke's algorithm and a row-action
algorithm based on diagonal approximations of the Hessian, are suggested.
Lemke's algorithm implementation is based on updating the sparse LU factorization
of a matrix representing the basis at the current step. The implementation of the
row-action algorithm relies on the efficient solution of single-constrained diagonal
subproblems.
In order to compare the relative merits of our implementations, numerical experimentation
is conducted on two sets of problems that use randomly generated
Hessian matrices and constraints taken from a subset of the netlib problems. Several
aspects are studied: the use of iterative linear algebra for solving the linear systems
of equations posed by the interior-point variants, the impact on the computational
resources (memory and CPU) when different approaches are used to solve large
scale problems, and finally, the effectiveness of a second order correction and the
truncated Newton strategy implemented in the interior-point methods.
|