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Modified Cholesky Factorizations in Interior-Point Algorithms for Linear Programming

✍ Scribed by Wright, Stephen J.


Book ID
118204340
Publisher
Society for Industrial and Applied Mathematics
Year
1999
Tongue
English
Weight
493 KB
Volume
9
Category
Article
ISSN
1052-6234

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Fast Cholesky factorization for interior
✍ C. MΓ©szΓ‘ros πŸ“‚ Article πŸ“… 1996 πŸ› Elsevier Science 🌐 English βš– 366 KB

Every iteration of an interior point method of large scale linear programming requires computing at least one orthogonal projection. In practice, Cholesky decomposition seems to be the most efficient and sufficiently stable method. We studied the 'column oriented' or 'left looking' sparse variant of