A preconditioning framework for sequences of diagonally modified linear systems arising in optimization

We propose a framework for building preconditioners for sequences of linear systems of the form $(A+\Delta_k) x_k=b_k$, where $A$ is symmetric positive semidefinite and $\Delta_k$ is diagonal positive semidefinite. Such sequences arise in several optimization methods, e.g., in affine-scaling methods for bound-constrained convex quadratic programming and bound-constrained linear least squares, as well as in trust-region … Read more