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Singular Value Homogenization: A simple preconditioning technique for linearly constrained optimization and its potential applications in medical therapy

: Erdmann-Pham, Dan Daniel; Gibali, Aviv; Küfer, Karl-Heinz; Süss, Philipp

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Journal of Mathematics in Industry 6 (2016), Art. 1, 11 S.
ISSN: 2190-5983
Zeitschriftenaufsatz, Elektronische Publikation
Fraunhofer ITWM ()

A wealth of problems occurring naturally in the applied sciences can be reformulated as optimization tasks whose argument is constrained to the solution set of a system of linear equations. Solving these efficiently typically requires computation of feasible descent directions and proper step sizes - the quality of which depends largely on conditioning of the linear equality constraint. In this paper we present a way of transforming such ill-conditioned problems into easily solvable, equivalent formulations by means of directly changing the singular values of the systems associated matrix. This transformation allows us to solve problems for which corresponding routines in the LAPACK library as well as widely used projection methods converged either very slowly or not at all.