Preconditioning KKT Systems

ABSTRACT

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.

JOURNAL

Numerical Linear Algebra With Applications

To appear

CO-AUTHORS

John C. Haws

Carl D. Meyer

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