Month: December 2020

Algorithms for Block Tridiagonal Systems: Foundations and New Results for Generalized Kalman Smoothing

  • Aleksandr Y. Aravkin
  • James V. Burke
  • Bradley Bell
  • Gianluigi Pillonetto
    • Categories Control Applications, Convex Optimization

    Block tridiagonal systems appear in classic Kalman smoothing problems, as well in generalized Kalman smoothing, where problems may have nonsmooth terms, singular covariance, constraints, nonlinear models, and unknown parameters. In this paper, first we interpret all the classic smoothing algorithms as different approaches to solve positive definite block tridiagonal linear systems. Then, we obtain new … Read more

    On the Linear Convergence to Weak/Standard D-stationary Points of DCA-based Algorithms for Structured Nonsmooth DC Programming

  • Dong Hongbo
  • Tao Min
    • Categories Nonlinear Optimization

    We consider a class of structured nonsmooth difference-of-convex minimization. We allow nonsmoothness in both the convex and concave components in the objective function, with a finite max structure in the concave part. Our focus is on algorithms that compute a (weak or standard) d(irectional)-stationary point as advocated in a recent work of Pang et al. … Read more

    A New Dual Face Algorithm Using LU Factorization for Linear Programming

  • Ping-Qi Pan
    • Categories Linear, Cone and Semidefinite Programming Tags , , , ,

    The dual face algorithm for linear programming (LP) was proposed by the author in 2014. Using QR factorization, it proceeds from dual face to dual face, until reaching an optimal dual face along with dual and primal optimal solutions, unless detecting infeasibility of the problem. On the other hand, a variant of the algorithm using … Read more