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[02325] A Hybrid Method for Solving Linear KKT Systems

  • Session Time & Room : 4D (Aug.24, 15:30-17:10) @E508
  • Type : Contributed Talk
  • Abstract : We propose an iterative method for solving linear systems arising from optimization problems with a separable objective function and dense constraints and suitable preconditioner for quick convergence. The method is implemented in Julia using Krylov.jl for the iterative solution, CUDA.jl to enable GPU capabilities, and a custom kernel for construction of the preconditioner. The method attains faster solution times than direct methods common in solvers such as Mosek and Gurobi in theory and in practice.
  • Classification : 65F10, 15A29, 90C05, 65K05, 90C25
  • Format : Talk at Waseda University
  • Author(s) :
    • Shaked Regev (Gridmatic)
    • Shaked Regev (Gridmatic)