ABS Solution of equations of second kind and application to the primal-dual interior point method for linear programming

ABS Solution of equations of second kind and application to the primal-dual interior point method for linear programming

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Article ID: iaor200973205
Volume: 1
Issue: 1
Start Page Number: 28
End Page Number: 34
Publication Date: May 2008
Journal: Iranian Journal of Operations Research
Authors:
Abstract:

We consider an application of the ABS (Abaffy, Broyden and Spedicato) procedure to the linear systems arising from the primal-dual interior point methods where Newton method is used to compute path to the solution. When approaching the solution the linear system, which has the form of normal equations of the second kind, becomes more and more ill conditioned. We show how the use of the Huang algorithm in the ABS class can reduce the ill conditioning. Preliminary numerical experiments show that the proposed approach can provide a residual in the computed solution up to sixteen orders lower.

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