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规范类型其他
Constraint aggregation principle in convex optimization.
Ermoliev YM; Kryazhimskiy AV; Ruszczynski A
发表日期1997
出处Mathematical Programming, Series B : 353-372.
出版年1997
语种英语
摘要A general constraint aggregation technique is proposed for convex optimization problems. At each iteration a set of convex inequalities and linear equations is replaced by a single surrogate inequality formed as a linear combination of the original constraints. After solving the simplified subproblem, new aggregation coefficients are calculated and the iteration continues. This general aggregation principle is incorporated into a number of specific algorithms. Convergence of the new methods is proved and speed of convergence analyzed. Next, dual interpretation of the method is provided and application to decomposable problems is discussed. Finally, a numerical illustration is given.
主题Dynamic Systems (DYN)
关键词Nonsmooth optimization Surrogate constraints Subgradient methods Decomposition
URLhttp://pure.iiasa.ac.at/id/eprint/5096/
来源智库International Institute for Applied Systems Analysis (Austria)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/127631
推荐引用方式
GB/T 7714
Ermoliev YM,Kryazhimskiy AV,Ruszczynski A. Constraint aggregation principle in convex optimization.. 1997.
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