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Efficient preconditioners for solving dynamical optimal transport via interior point methods

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  • Additional Information
    • Contributors:
      Reliable numerical approximations of dissipative systems (RAPSODI ); Laboratoire Paul Painlevé - UMR 8524 (LPP); Université de Lille-Centre National de la Recherche Scientifique (CNRS)-Université de Lille-Centre National de la Recherche Scientifique (CNRS)-Inria Lille - Nord Europe; Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria); University of Bergen (UiB); Méthodes numériques pour le problème de Monge-Kantorovich et Applications en sciences sociales (MOKAPLAN); CEntre de REcherches en MAthématiques de la DEcision (CEREMADE); Université Paris Dauphine-PSL; Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Dauphine-PSL; Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS)-Inria de Paris; Institut des Sciences de la Terre (ISTerre); Institut de Recherche pour le Développement (IRD)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Savoie Mont Blanc (USMB Université de Savoie Université de Chambéry )-Centre National de la Recherche Scientifique (CNRS)-Université Gustave Eiffel-Université Grenoble Alpes (UGA); Laboratoire de Mathématiques d'Orsay (LMO); Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS); Scuola Normale Superiore di Pisa (SNS); This work was supported in part by the Labex CEMPI (ANR-11-LABX-0007-01); EF work was partially supported by EU MSCA project N°104109101(NIOT).; ANR-11-LABX-0007,CEMPI,Centre Européen pour les Mathématiques, la Physique et leurs Interactions(2011)
    • Publication Information:
      HAL CCSD
      Society for Industrial and Applied Mathematics
    • Publication Date:
      2022
    • Collection:
      Université Savoie Mont Blanc: HAL
    • Abstract:
      International audience ; In this paper we address the numerical solution of the quadratic optimal transport problem in its dynamical form, the so-called Benamou-Brenier formulation. When solved using interior point methods, the main computational bottleneck is the solution of large saddle point linear systems arising from the associated Newton-Raphson scheme.The main purpose of this paper is to design efficient preconditioners to solve these linear systems via iterative methods. Among the proposed preconditioners, we introduce one based on the partial commutation of the operators that compose the dual Schur complement of these saddle point linear systems, which we refer as $\boldsymbol{B}\boldsymbol{B}$-preconditioner.A series of numerical tests show that the $\boldsymbol{B}\boldsymbol{B}$-preconditioner is the most efficient among those presented, despite a performance deterioration in the last steps of the interior point method. It is in fact the only one having a CPU-time that scales only slightly worse than linearly with respect to the number of unknowns used to discretize the problem.
    • Relation:
      info:eu-repo/semantics/altIdentifier/arxiv/2209.00315v3; hal-03766668; https://inria.hal.science/hal-03766668; https://inria.hal.science/hal-03766668v3/document; https://inria.hal.science/hal-03766668v3/file/2209.00315v3.pdf; ARXIV: 2209.00315v3
    • Online Access:
      https://inria.hal.science/hal-03766668
      https://inria.hal.science/hal-03766668v3/document
      https://inria.hal.science/hal-03766668v3/file/2209.00315v3.pdf
    • Rights:
      http://hal.archives-ouvertes.fr/licences/copyright/ ; info:eu-repo/semantics/OpenAccess
    • Accession Number:
      edsbas.28007A2C