9,724 research outputs found
Some Preconditioning Techniques for Saddle Point Problems
Saddle point problems arise frequently in many applications in science and engineering, including constrained optimization, mixed finite element formulations of partial differential equations, circuit analysis, and so forth. Indeed the formulation of most problems with constraints gives rise to saddle point systems. This paper provides a concise overview of iterative approaches for the solution of such systems which are of particular importance in the context of large scale computation. In particular we describe some of the most useful preconditioning techniques for Krylov subspace solvers applied to saddle point problems, including block and constrained preconditioners.\ud
\ud
The work of Michele Benzi was supported in part by the National Science Foundation grant DMS-0511336
GMRES-Accelerated ADMM for Quadratic Objectives
We consider the sequence acceleration problem for the alternating direction
method-of-multipliers (ADMM) applied to a class of equality-constrained
problems with strongly convex quadratic objectives, which frequently arise as
the Newton subproblem of interior-point methods. Within this context, the ADMM
update equations are linear, the iterates are confined within a Krylov
subspace, and the General Minimum RESidual (GMRES) algorithm is optimal in its
ability to accelerate convergence. The basic ADMM method solves a
-conditioned problem in iterations. We give
theoretical justification and numerical evidence that the GMRES-accelerated
variant consistently solves the same problem in iterations
for an order-of-magnitude reduction in iterations, despite a worst-case bound
of iterations. The method is shown to be competitive against
standard preconditioned Krylov subspace methods for saddle-point problems. The
method is embedded within SeDuMi, a popular open-source solver for conic
optimization written in MATLAB, and used to solve many large-scale semidefinite
programs with error that decreases like , instead of ,
where is the iteration index.Comment: 31 pages, 7 figures. Accepted for publication in SIAM Journal on
Optimization (SIOPT
BM3D Frames and Variational Image Deblurring
A family of the Block Matching 3-D (BM3D) algorithms for various imaging
problems has been recently proposed within the framework of nonlocal patch-wise
image modeling [1], [2]. In this paper we construct analysis and synthesis
frames, formalizing the BM3D image modeling and use these frames to develop
novel iterative deblurring algorithms. We consider two different formulations
of the deblurring problem: one given by minimization of the single objective
function and another based on the Nash equilibrium balance of two objective
functions. The latter results in an algorithm where the denoising and
deblurring operations are decoupled. The convergence of the developed
algorithms is proved. Simulation experiments show that the decoupled algorithm
derived from the Nash equilibrium formulation demonstrates the best numerical
and visual results and shows superiority with respect to the state of the art
in the field, confirming a valuable potential of BM3D-frames as an advanced
image modeling tool.Comment: Submitted to IEEE Transactions on Image Processing on May 18, 2011.
implementation of the proposed algorithm is available as part of the BM3D
package at http://www.cs.tut.fi/~foi/GCF-BM3
A class of nonsymmetric preconditioners for saddle point problems
For iterative solution of saddle point problems, a nonsymmetric preconditioning is studied which, with respect to the upper-left block of the system matrix, can be seen as a variant of SSOR. An idealized situation where the SSOR is taken with respect to the skew-symmetric part plus the diagonal part of the upper-left block is analyzed in detail. Since action of the preconditioner involves solution of a Schur complement system, an inexact form of the preconditioner can be of interest. This results in an inner-outer iterative process. Numerical experiments with solution of linearized Navier-Stokes equations demonstrate efficiency of the new preconditioner, especially when the left-upper block is far from symmetric
- …