SVD as a preconditioner in nonlinear optimization

  • Michał Pazdanowski

Abstract

Finding a solution of nonlinear constrained optimization problem may be very computer resources consuming, regardless of solution method adopted. A conceptually simple preconditioning procedure, based on singular value decomposition (SVD), is proposed in the current paper in order to speed up the convergence of a gradient based algorithm to solve constrained minimization problem having quadratic objective function. The efficiency of the proposed procedure is tested on a constrained minimization problem with quadratic objective function and quadratic constraints. Accuracy of the results obtained using proposed preconditioning method is checked and verified against the results determined without the preconditioning procedure. Results obtained so far seem to indicate a significant speedup of the calculations at the expense of, negligible from the engineering point of view, loss of accuracy.

Keywords

numerical method, nonlinear optimization, singular value decomposition,

References

Published
Jan 25, 2017
How to Cite
PAZDANOWSKI, Michał. SVD as a preconditioner in nonlinear optimization. Computer Assisted Methods in Engineering and Science, [S.l.], v. 21, n. 2, p. 141-150, jan. 2017. ISSN 2299-3649. Available at: <https://cames.ippt.pan.pl/index.php/cames/article/view/48>. Date accessed: 26 jan. 2022.
Section
Articles