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218
A Spectral Bundle Method for Semidefinite Programming
 SIAM JOURNAL ON OPTIMIZATION
, 1997
"... A central drawback of primaldual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applica ..."
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Cited by 138 (6 self)
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A central drawback of primaldual interior point methods for semidefinite programs is their lack of ability to exploit problem structure in cost and coefficient matrices. This restricts applicability to problems of small dimension. Typically semidefinite relaxations arising in combinatorial applications have sparse and well structured cost and coefficient matrices of huge order. We present a method that allows to compute acceptable approximations to the optimal solution of large problems within reasonable time. Semidefinite programming problems with constant trace on the primal feasible set are equivalent to eigenvalue optimization problems. These are convex nonsmooth programming problems and can be solved by bundle methods. We propose replacing the traditional polyhedral cutting plane model constructed from subgradient information by a semidefinite model that is tailored for eigenvalue problems. Convergence follows from the traditional approach but a proof is included for completene...
ARPACK Users Guide: Solution of Large Scale Eigenvalue Problems by Implicitly Restarted Arnoldi Methods.
, 1997
"... this document is intended to provide a cursory overview of the Implicitly Restarted Arnoldi/Lanczos Method that this software is based upon. The goal is to provide some understanding of the underlying algorithm, expected behavior, additional references, and capabilities as well as limitations of the ..."
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Cited by 137 (14 self)
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this document is intended to provide a cursory overview of the Implicitly Restarted Arnoldi/Lanczos Method that this software is based upon. The goal is to provide some understanding of the underlying algorithm, expected behavior, additional references, and capabilities as well as limitations of the software. 1.7 Dependence on LAPACK and BLAS
Krylov Projection Methods For Model Reduction
, 1997
"... This dissertation focuses on efficiently forming reducedorder models for large, linear dynamic systems. Projections onto unions of Krylov subspaces lead to a class of reducedorder models known as rational interpolants. The cornerstone of this dissertation is a collection of theory relating Krylov p ..."
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Cited by 118 (3 self)
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This dissertation focuses on efficiently forming reducedorder models for large, linear dynamic systems. Projections onto unions of Krylov subspaces lead to a class of reducedorder models known as rational interpolants. The cornerstone of this dissertation is a collection of theory relating Krylov projection to rational interpolation. Based on this theoretical framework, three algorithms for model reduction are proposed. The first algorithm, dual rational Arnoldi, is a numerically reliable approach involving orthogonal projection matrices. The second, rational Lanczos, is an efficient generalization of existing Lanczosbased methods. The third, rational power Krylov, avoids orthogonalization and is suited for parallel or approximate computations. The performance of the three algorithms is compared via a combination of theory and examples. Independent of the precise algorithm, a host of supporting tools are also developed to form a complete modelreduction package. Techniques for choosing the matching frequencies, estimating the modeling error, insuring the model's stability, treating multipleinput multipleoutput systems, implementing parallelism, and avoiding a need for exact factors of large matrix pencils are all examined to various degrees.
A cyclic low rank Smith method for large sparse Lyapunov equations with applications in model reduction and optimal control
 SIAM J. Sci. Comput
, 1998
"... ..."
Deflation Techniques For An Implicitly ReStarted Arnoldi Iteration
 SIAM J. Matrix Anal. Appl
, 1996
"... . A deflation procedure is introduced that is designed to improve the convergence of an implicitly restarted Arnoldi iteration for computing a few eigenvalues of a large matrix. As the iteration progresses the Ritz value approximations of the eigenvalues of A converge at different rates. A numerical ..."
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Cited by 68 (9 self)
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. A deflation procedure is introduced that is designed to improve the convergence of an implicitly restarted Arnoldi iteration for computing a few eigenvalues of a large matrix. As the iteration progresses the Ritz value approximations of the eigenvalues of A converge at different rates. A numerically stable scheme is introduced that implicitly deflates the converged approximations from the iteration. We present two forms of implicit deflation. The first, a locking operation, decouples converged Ritz values and associated vectors from the active part of the iteration. The second, a purging operation, removes unwanted but converged Ritz pairs. Convergence of the iteration is improved and a reduction in computational effort is also achieved. The deflation strategies make it possible to compute multiple or clustered eigenvalues with a single vector restart method. A Block method is not required. These schemes are analyzed with respect to numerical stability and computational results are p...
Rational Krylov algorithms for nonsymmetric Eigenvalue problems, II: Matrix pairs
, 1992
"... A new algorithm for the computation of eigenvalues of a nonsymmetric matrix pencil is described. It is a generalization of the shifted and inverted Lanczos (or Arnoldi) algorithm, in which several shifts are used in one run. It computes an orthogonal basis and a small Hessenberg pencil. The eigensol ..."
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Cited by 65 (0 self)
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A new algorithm for the computation of eigenvalues of a nonsymmetric matrix pencil is described. It is a generalization of the shifted and inverted Lanczos (or Arnoldi) algorithm, in which several shifts are used in one run. It computes an orthogonal basis and a small Hessenberg pencil. The eigensolution of the Hessenberg pencil, gives Ritz approximations to the solution of the original pencil. It is shown that the computed approximate solution is the exact solution of a perturbed pencil, and bounds and estimates of the perturbations are given. Results for a numerical example coming from a bifurcation problem arising from a hydrodynamical application are demonstrated. 1. INTRODUCTION We seek solutions to the generalized eigenvalue problem, (A \Gamma B)x = 0 ; (1) for large and sparse nonsymmetric matrices A and B. The matrices are too large to be treated by transformation methods such as the QRalgorithm, but not larger than that a factorization and solution of a linear system is f...
Design of a Parallel Nonsymmetric Eigenroutine Toolbox, Part I
, 1993
"... The dense nonsymmetric eigenproblem is one of the hardest linear algebra problems to solve effectively on massively parallel machines. Rather than trying to design a "black box" eigenroutine in the spirit of EISPACK or LAPACK, we propose building a toolbox for this problem. The tools are meant to ..."
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Cited by 63 (13 self)
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The dense nonsymmetric eigenproblem is one of the hardest linear algebra problems to solve effectively on massively parallel machines. Rather than trying to design a "black box" eigenroutine in the spirit of EISPACK or LAPACK, we propose building a toolbox for this problem. The tools are meant to be used in different combinations on different problems and architectures. In this paper, we will describe these tools which include basic block matrix computations, the matrix sign function, 2dimensional bisection, and spectral divide and conquer using the matrix sign function to find selected eigenvalues. We also outline how we deal with illconditioning and potential instability. Numerical examples are included. A future paper will discuss error analysis in detail and extensions to the generalized eigenproblem.
Model reduction of state space systems via an Implicitly Restarted Lanczos method
 Numer. Algorithms
, 1996
"... The nonsymmetric Lanczos method has recently received significant attention as a model reduction technique for largescale systems. Unfortunately, the Lanczos method may produce an unstable partial realization for a given, stable system. To remedy this situation, inexpensive implicit restarts are de ..."
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Cited by 56 (8 self)
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The nonsymmetric Lanczos method has recently received significant attention as a model reduction technique for largescale systems. Unfortunately, the Lanczos method may produce an unstable partial realization for a given, stable system. To remedy this situation, inexpensive implicit restarts are developed which can be employed to stabilize the Lanczos generated model.
Adaptively Preconditioned Gmres Algorithms
 SIAM J. Sci. Comput
"... . The restarted GMRES algorithm proposed by Saad and Schultz [22] is one of the most popular iterative methods for the solution of large linear systems of equations Ax = b with a nonsymmetric and sparse matrix. This algorithm is particularly attractive when a good preconditioner is available. The pr ..."
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Cited by 54 (2 self)
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. The restarted GMRES algorithm proposed by Saad and Schultz [22] is one of the most popular iterative methods for the solution of large linear systems of equations Ax = b with a nonsymmetric and sparse matrix. This algorithm is particularly attractive when a good preconditioner is available. The present paper describes two new methods for determining preconditioners from spectral information gathered by the Arnoldi process during iterations by the restarted GMRES algorithm. These methods seek to determine an invariant subspace of the matrix A associated with eigenvalues close to the origin, and move these eigenvalues so that a higher rate of convergence of the iterative methods is achieved. Key words. iterative method, nonsymmetric linear system, Arnoldi process AMS subject classifications. 65F10 1. Introduction. Many problems in Applied Mathematics and Engineering give rise to very large linear systems of equations Ax = b; A 2 R n\Thetan ; x; b 2 R n ; (1.1) with a sparse nons...
An Implicitly Restarted Lanczos Method for Large Symmetric. . .
 ETNA
, 1994
"... . The Lanczos process is a well known technique for computing a few, say k, eigenvalues and associated eigenvectors of a large symmetric nn matrix. However, loss of orthogonality of the computed Krylov subspace basis can reduce the accuracy of the computed approximate eigenvalues. In the implicitly ..."
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Cited by 54 (13 self)
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. The Lanczos process is a well known technique for computing a few, say k, eigenvalues and associated eigenvectors of a large symmetric nn matrix. However, loss of orthogonality of the computed Krylov subspace basis can reduce the accuracy of the computed approximate eigenvalues. In the implicitly restarted Lanczos method studied in the present paper, this problem is addressed by fixing the number of steps in the Lanczos process at a prescribed value, k +p, where p typically is not much larger, and may be smaller, than k. Orthogonality of the k + p basis vectors of the Krylov subspace is secured by reorthogonalizing these vectors when necessary. The implicitly restarted Lanczos method exploits that the residual vector obtained by the Lanczos process is a function of the initial Lanczos vector. The method updates the initial Lanczos vector through an iterative scheme. The purpose of the iterative scheme is to determine an initial vector such that the associated residual vector is tiny....