LANS Informal Seminar: Daniel Robinson

Seminar Title: Matrix splitting methods for bound-constrained quadratic programming and linear complementarity problems
Speaker: Daniel Robinson, Northwestern

Date/Time: 2011-07-27 15:00
Location: Bldg 240 Conference Center 1404-1405

Description:
I present two-phase matrix splitting methods for solving bound-constrained quadratic programs (BQPs) and linear complementarity problems (LCPs). The method for solving BQPs uses matrix splitting iterations to generate descent directions that drive convergence of the iterates and rapidly identify those variables that are active at the solution. The second-phase uses this prediction to further refine the active set and to accelerate convergence. The method for solving LCP combines matrix splitting iterations with a ‘natural’ merit function. This combination allows one to prove convergence of the method and maintain excellent practical performance. Once again, a second subspace phase is used to accelerate convergence. I present numerical results for both algorithms on CUTEr test problems, randomly generated problems, and the pricing of American options.