Preconditioning KKT Systems
Standard preconditioners, such as ILU factorizations,
often break down in construction for KKT matrices.
We present three preconditioners for KKT systems.
The first two approximate a constraint preconditioner
with incomplete factorizations for the normal equations.
The third approach applies permutations and scalings that
maximize the magnitude of the entries along the diagonal of the matrix,
before computing an ILU preconditioner.
This preprocessing improves the effectiveness of a
a threshold-based ILU preconditioner. Numerical experiments
compare these three preconditioners with exact constraint preconditioning.
- Numerical Linear Algebra With Applications
- To appear
- John C. Haws
Carl D. Meyer
- THE POSTSCRIPT FILE
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- THE PDF FILE
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Preconditioning KKT Systems.pdf
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