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dc.contributor.authorStange, Peter
dc.contributor.authorGriewank, Andreas
dc.contributor.authorBollhöfer, Matthias
dc.description.abstractIn this paper we introduce a new method for the computation of KKT matrices that arise from solving constrained, nonlinear optimization problems. This method requires updating of null-space factorizations after a low rank modification. The update procedure has the advantage that it is significantly cheaper than a re-factorization of the system at each new iterate. This paper focuses on the cheap update of a rectangular LU decomposition after a rank-1 modification. Two different procedures for updating the LU factorization are presented in detail and compared regarding their costs of computation and their stability. Moreover we will introduce an extension of these algorithms which further improves the computation time. This turns out to be an excellent alternative to algorithms based on orthogonal transformations.en
dc.subject.ddc510 Mathematiken
dc.subject.otherupdating factorizationen
dc.subject.otherLU decompositionen
dc.titleOn the Efficient Update of Rectangular LU Factorizations subject to Low Rank Modificationsen
dc.typeResearch Paperen
tub.publisher.universityorinstitutionTechnische Universität Berlinen
tub.series.issuenumber2006, 01en
tub.series.namePreprint-Reihe des Instituts für Mathematik, Technische Universität Berlinen
tub.affiliationFak. 2 Mathematik und Naturwissenschaften » Inst. Mathematikde
tub.subject.msc200065F05 Direct methods for linear systems and matrix inversionen
tub.subject.msc200065K05 Mathematical programmingen
Appears in Collections:Technische Universität Berlin » Publications

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