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Linear Equations and Least Squares Solver for Large Scale #11

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convexbrain opened this issue Feb 10, 2019 · 4 comments
Closed

Linear Equations and Least Squares Solver for Large Scale #11

convexbrain opened this issue Feb 10, 2019 · 4 comments
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core implementation
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@convexbrain
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@convexbrain convexbrain added this to the later milestone Feb 10, 2019
@convexbrain convexbrain modified the milestones: later..., todo Apr 22, 2019
@convexbrain
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Need to consider iterative linear solver. For SDP calculating max eigenvalue is also required.

@convexbrain
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Using sparse matrix and iterative solver degraded performance...

@convexbrain convexbrain modified the milestones: todo, later..., pending May 5, 2019
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  • 直接法：SVDをsolveに特化する。Vをhに順次掛けていって、UとVhを変数にする。
  • 反復法に備えて、KKT行列を作用素として表現する。0部分や疎行列なときに演算を減らす効果が期待できる。直接法の場合は、いったん作用素から行列を作ってやることで互換動作させる。
  • 反復法：LSMRをLSQRにしてみる。
  • 最終的に、直接法と反復法を選べるようにする。

@convexbrain convexbrain modified the milestones: pending, todo May 6, 2019
@convexbrain convexbrain changed the title Sparse Matrix Linear Equations and Least Squares Solver for Large Scale May 6, 2019
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Add LSQR and SpMat, PDIPMParam::use_iter to select LSQR or SVD.

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