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Department of Mathematics,
University of California San Diego

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Mathematics 278 - Computational and Applied Mathematics

Olvi Mangasarian

UCSD, Department of Mathematics

Absolute value equation solution via concave minimization

Abstract:

The NP-hard absolute value equation (AVE), Ax-$|x|$=b, where A is an n-by-n real matrix and b is an n-by-1 real vector is solved by a succession of linear programs. The linear programs arise from a reformulation of the AVE as the minimization of a piecewise-linear concave function on a polyhedral set and solving the latter by successive linearization. A simple MATLAB implementation of the successive linearization algorithm solved 100 consecutively generated 1000-dimensional random instances of the AVE with only five violated equations out of a total of 100,000 equations. Paper is available at: ftp://ftp.cs.wisc.edu/pub/dmi/tech-reports/06-02.pdf

Host:

April 11, 2006

11:00 AM

AP&M 7321

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