CISE Submissions

Item: REP-2004-354

Item:REP-2004-354

Title:Dual multilevel optimization

T. A. Davis
W. W. Hager

Abstract:
We study the structure of dual optimzation problems associated with linear constraints, bounds on the variables, and separable cost. We show how the dependency structure of the linear equations is related to the separability of the dual cost function. As a result, techniques for ordering sparse matrices based on nested dissection or graph partitioning can be used to decompose a dual optimization problem into independent subproblems that can be solved in parallel. The performance of a multilevel implementation of the Dual Active Set Algorithm is compared with CPLEX Simplex and Barrier codes using Netlib linear programming test problems.

Supporting File:here

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