Linear programming with entropic perturbation

Linear programming with entropic perturbation

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Article ID: iaor1994313
Country: Germany
Volume: 37
Start Page Number: 171
End Page Number: 186
Publication Date: May 1993
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: ,
Abstract:

In this paper, the authors derive an unconstrained convex programming approach to solving standard form linear programs through an entropic perturbation. The whole duality theory is established by using only one simple inequality ‘ln z•z-1 for z>0’. A curved search algorithm is also proposed for obtaining a pair of primal and dual •-optimal solutions. The proposed algorithm is proven to be globally convergent with a quadratic rate of convergence. Computational results are included in support of theoretic findings.

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