The interior point method for LP on parallel computers
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In this paper we describe a unified algorithmic framework for the interior point method (IPM) over a range of computer architectures. In the inner iteration of the IPM a search direction is computed using Newton or higher order methods. Computationally this involves solving a sparse symmetric positive definite (SSPD) system of equations. The choice of direct and indirect methods for the solution of this system and the design of data structures to take advantage of coarse grain parallel and massively parallel computer architectures are considered in detail. Finally, we present experimental results of solving NETLIB test problems on examples of these architectures and put forward arguments as to why integration of the system within sparse simplex is important.
KeywordsInterior Point Method Super Node Conjugate Gradient Iteration Zero Structure Elimination Tree
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