Saddle point systems with an application to the acceleration of the Augmented Lagrangian / Sistemas ponto de sela com uma aplicação a aceleração do Lagrangiano Aumentado

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

Saddle point systems arise in wide areas of research fields like physics, chemistry and engineering and images reconstructions, etc. Then, the properties of these systems and solving methods have been subjects of intense study in the last years. Depending upon the system properties, several methods were developed; some of these, exhibit the property of preserving the matrix structure system, like the sparsity. In this work, we have used one of these methods to improve the accuracy by using ALGECAN (Augmented Lagrangian using GENCAN) applied to Non-linear Programming (NLP) problems. This is a robust method which helps to get a good approximation to the solution. However, in several cases, it is not possible to get the desired accuracy. In order to improve the precision, we have applied Newton?s method in a reduced KKT system, starting from a point given by ALGENCAN, which is a saddle point. We employ the so called LDLT factorization in order to implement Newton?s method, which give us better accuracy

ASSUNTO(S)

sistemas ponto de sela otimização matematica mathematical optimization metodos numericos saddle point systems numerical methods

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