2023 journal article
Code and Data Repository for Exact Matrix Factorization Updates for Nonlinear Programming
INFORMS Journal on Computing.
LU and Cholesky matrix factorization algorithms are core subroutines used to solve systems of linear equations (SLEs) encountered when solving an optimization prob-lem. Standard floating-point algorithms are highly efficient but remain susceptible to the accumulation of round-off errors, which can lead solvers to return feasibility and optimal-ity claims that are actually invalid. This paper introduces a novel direct solution approach for solving sequences of closely related SLEs encountered in nonlinear programming effi-ciently and without round-off errors. Specifically, it introduces rank-one update algorithms for the round-off error–free factorization framework, a tool set built on integer-preserving arithmetic that has led to the development and implementation of extremely reliable sub-routines for solving SLEs occurring in linear programming. The formal guarantees of the presented algorithms are established through the derivation of theoretical insights. Their advantages are supported with computational experiments, which demonstrate upward of 75×improvements over exact factorization runtimes on fully dense matrices with more than one million entries. A significant advantage of the featured integer-preserving frame-work is that the length of any matrix coefficient produced by its algorithms is bounded polynomially in the size of the inputs without having to resort to greatest common divisor operations, which are required by and thereby hinder an efficient implementation of exact rational arithmetic approaches.