[BANANA] Seminar: Nov 1, 2006

[Gene H Golub]

Linear Algebra and Optimization Seminar
Fall 2006
Gates Building, Room 104
Room Change! This seminar will be held in Gates 100 instead.
Jacek Gondzio
Wednesday, November 1, 4:15pm

>From Sparsity to Block-Sparsity: Direct Solution of Linear Systems of 
Dimension 10^9

We discuss a method for solving very large structured symmetric indefinite 
equation systems arising in optimization with interior point methods.

Many real-life economic models involve system dynamics, spatial 
distribution or uncertainty and lead to large-scale optimization problems. 
Such problems usually have a hidden structure: they are constructed by 
replication of some small generic block. The linear algebra subproblems 
which arise in optimization algorithms for such problems involve matrices 
which are not only sparse, but they additionally display a block-structure 
with many smaller blocks sparsely distributed in the large matrix.

We have developed a structure-exploiting parallel interior point solver 
for optimization problems. Its design uses object-oriented programming 
techniques. The program OOPS ( Object-Oriented Parallel Solver: 
http://www.maths.ed.ac.uk/~gondzio/parallel/solver.html ) can efficiently 
handle very large problems and achieves scalability on a number of 
different computing platforms. We illustrate its performance on a 
collection of problems with sizes reaching 10^9 variables arising from 
asset liability management and portfolio optimization.

This is a joint work with Andreas Grothey.
Room Change! This seminar will be held in Gates 100 instead.



++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
I AM HAVING TROUBLE WITH MY MAILER.
PLEASE SEND ALL FUTURE MAIL TO ME AT
golub at stanford.edu.
Thanks. Gene



Gene Golub,  Fletcher Jones Professor of Computer Science
Gates 2B
Computer Science Dept
Stanford University
Stanford, CA 94305
USA

Office Phone: 650 723 3124
Home Phone: 650 323 0105
FAX:  (650) 618 2767
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