0000691: IMPLEMENTED: "exact robust" preconditioner mode for MinNLC optimizer

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Severity

Reproducibility

Date Submitted

Last Update

0000691

[ALGLIB] Optimization

feature

have not tried

2017-04-14 20:38

2017-04-14 20:44

Reporter

SergeyB

View Status

public

Assigned To

SergeyB

Priority

normal

Resolution

implemented

Platform

Status

resolved

Projection

none

OS Version

ETA

none

Fixed in Version

3.11.0

Product Version

Target Version

3.11.0

Product Build

Summary

0000691: IMPLEMENTED: "exact robust" preconditioner mode for MinNLC optimizer

Description

New preconditioner which behaves robustly independently of constraint count K (whether it is zero, less than N, more than N). The only drawback is that it always requires at least O(N^3) time to build, even for K<<N.

New preconditioner is now default one (pre-3.11 ALGLIB used inexact preconditioner as default option).

For comparison, "exact low rank" preconditioner behaves well on problems with constraint number K less than problem N, but fails for K>=N, although for small K's it requires just O(N*K^2) time to be built.

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Additional Information

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Unspecified

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Issue History
Date Modified	Username	Field	Change
2017-04-14 20:38	SergeyB	New Issue
2017-04-14 20:38	SergeyB	Status	new => assigned
2017-04-14 20:38	SergeyB	Assigned To	=> SergeyB
2017-04-14 20:38	SergeyB	Programming language	=> Unspecified
2017-04-14 20:44	SergeyB	Description Updated
2017-04-14 20:44	SergeyB	Status	assigned => resolved
2017-04-14 20:44	SergeyB	Fixed in Version	=> 3.11.0
2017-04-14 20:44	SergeyB	Resolution	open => implemented

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