Article ID: | iaor20163608 |
Volume: | 65 |
Issue: | 2 |
Start Page Number: | 339 |
End Page Number: | 360 |
Publication Date: | Nov 2016 |
Journal: | Computational Optimization and Applications |
Authors: | Morini Benedetta, Bellavia Stefania, De Simone Valentina, di Serafino Daniela |
Keywords: | programming: nonlinear, programming: convex, programming: quadratic, matrices |
We address the problem of preconditioning sequences of regularized KKT systems, such as those arising in interior point methods for convex quadratic programming. In this case, constraint preconditioners (CPs) are very effective and widely used; however, when solving large‐scale problems, the computational cost for their factorization may be high, and techniques for approximating them appear as a convenient alternative. Here, given a block