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Volumn 3911 LNCS, Issue , 2006, Pages 513-525

Direct solution of linear systems of size 109 arising in optimization with interior point methods

Author keywords

[No Author keywords available]

Indexed keywords

ITERATIVE METHODS; LINEAR EQUATIONS; MATRIX ALGEBRA; OBJECT ORIENTED PROGRAMMING; PARALLEL PROCESSING SYSTEMS; PROBLEM SOLVING;

EID: 33745801596     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/11752578_62     Document Type: Conference Paper
Times cited : (30)

References (15)
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  • 4
    • 0033296703 scopus 로고    scopus 로고
    • Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization
    • Altman, A., Gondzio, J.: Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization. Optimization Methods and Software 11-12 (1999) 275-302
    • (1999) Optimization Methods and Software , vol.11-12 , pp. 275-302
    • Altman, A.1    Gondzio, J.2
  • 5
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    • Parallel interior point solver for structured linear programs
    • Gondzio, J., Sarkissian, R.: Parallel interior point solver for structured linear programs. Mathematical Programming 96(3) (2003) 561-584
    • (2003) Mathematical Programming , vol.96 , Issue.3 , pp. 561-584
    • Gondzio, J.1    Sarkissian, R.2
  • 6
    • 19844365963 scopus 로고    scopus 로고
    • Parallel interior point solver for structured quadratic programs: Application to financial planning problems
    • Technical Report MS-03-001, School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK Accepted for publication
    • Gondzio, J., Grothey, A.: Parallel interior point solver for structured quadratic programs: Application to financial planning problems. Technical Report MS-03-001, School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK (2003) Accepted for publication in Annals of Operations Research.
    • (2003) Annals of Operations Research
    • Gondzio, J.1    Grothey, A.2
  • 7
    • 33745802440 scopus 로고    scopus 로고
    • Exploiting structure in parallel implementation of interior point methods for optimization
    • School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK
    • Gondzio, J., Grothey, A.: Exploiting structure in parallel implementation of interior point methods for optimization. Technical Report MS-04-004, School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK (2004)
    • (2004) Technical Report , vol.MS-04-004
    • Gondzio, J.1    Grothey, A.2
  • 8
    • 33745747452 scopus 로고    scopus 로고
    • Solving nonlinear portfolio optimization problems with the primal-dual interior point method
    • Technical Report MS-04-001, School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK Accepted for publication
    • Gondzio, J., Grothey, A.: Solving nonlinear portfolio optimization problems with the primal-dual interior point method. Technical Report MS-04-001, School of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, Scotland, UK (2004) Accepted for publication in European Journal of Operational Research.
    • (2004) European Journal of Operational Research
    • Gondzio, J.1    Grothey, A.2
  • 10
    • 0001351705 scopus 로고
    • On the augmented system approach to sparse least-squares problems
    • Arioli, M., Duff, I.S., de Rijk, P.P.M.: On the augmented system approach to sparse least-squares problems. Numerische Mathematik 55 (1989) 667-684
    • (1989) Numerische Mathematik , vol.55 , pp. 667-684
    • Arioli, M.1    Duff, I.S.2    De Rijk, P.P.M.3
  • 13
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    • A mean-absolute deviation-skewness portfolio optimization model
    • Konno, H., Shirakawa, H., Yamazaki, H.: A mean-absolute deviation-skewness portfolio optimization model. Annals of Operational Research 45 (1993) 205-220
    • (1993) Annals of Operational Research , vol.45 , pp. 205-220
    • Konno, H.1    Shirakawa, H.2    Yamazaki, H.3
  • 15
    • 0035271732 scopus 로고    scopus 로고
    • Markowitz revisited: Mean variance models in financial portfolio analysis
    • Steinbach, M.: Markowitz revisited: Mean variance models in financial portfolio analysis. SIAM Review 43(1) (2001) 31-85
    • (2001) SIAM Review , vol.43 , Issue.1 , pp. 31-85
    • Steinbach, M.1


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