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来源类型 | Article |
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 |
URL | http://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. |
条目包含的文件 | 条目无相关文件。 |
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