2022
DOI: 10.48550/arxiv.2202.00520
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Exact Matrix Factorization Updates for Nonlinear Programming

Abstract: LU and Cholesky matrix factorization algorithms are core subroutines used to solve systems of linear equations (SLEs) encountered while solving an optimization problem. Standard factorization algorithms are highly efficient but remain susceptible to the accumulation roundoff errors, which can lead solvers to return feasibility and optimality certificates that are actually invalid. This paper introduces a novel approach for solving sequences of closely related SLEs encountered in nonlinear programming efficient… Show more

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References 34 publications
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