论文标题
非线性编程的精确矩阵分解更新
Exact Matrix Factorization Updates for Nonlinear Programming
论文作者
论文摘要
LU和Cholesky基质分解算法是用于求解线性方程(SLE)系统时遇到的核心子例程,同时解决了优化问题。标准分解算法高效,但仍然容易受到圆形错误的积累,这可以使求解器返回可行性和实际上无效的最佳主张。本文介绍了一种新的方法,用于解决非线性编程中遇到的紧密相关SLE的序列,而没有圆形误差。具体而言,它引入了圆形无误差(REF)分解框架的排名第一更新算法,该框架是一种基于整数保存算术构建的工具集,该工具集导致了对线性编程的故障防止SLE解决方案子例程的开发和实现。提出的算法的形式保证是通过推导理论见解来确定的。它们的优势得到了计算实验的支持,该实验证明了75倍改善的超过75倍,而不是精确的分解时间跑步时间超过100万个条目。该方法的一个重要优点是,通过所提出的算法计算得出的任何系数的长度在多项程表上以输入的大小为界定,而无需诉诸最大的公共除数操作,从而使这是有效地实现精确合理算术方法的有效实现。
LU and Cholesky matrix factorization algorithms are core subroutines used to solve systems of linear equations (SLEs) encountered while solving an optimization problem. Standard factorization algorithms are highly efficient but remain susceptible to the accumulation of roundoff errors, which can lead solvers to return feasibility and optimality claims that are actually invalid. This paper introduces a novel approach for solving sequences of closely related SLEs encountered in nonlinear programming efficiently and without roundoff errors. Specifically, it introduces rank-one update algorithms for the roundoff-error-free (REF) factorization framework, a toolset built on integer-preserving arithmetic that has led to the development and implementation of fail-proof SLE solution subroutines for linear programming. The formal guarantees of the proposed algorithms are established through the derivation of theoretical insights. Their advantages are supported with computational experiments, which demonstrate upwards of 75x-improvements over exact factorization run-times on fully dense matrices with over one million entries. A significant advantage of the methodology is that the length of any coefficient calculated via the proposed algorithms is bounded polynomially in the size of the inputs without having to resort to greatest common divisor operations, which are required by and thereby hinder an efficient implementation of exact rational arithmetic approaches.