Restricted Simplicial Decomposition for convex constrained problems

Restricted Simplicial Decomposition for convex constrained problems

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Article ID: iaor19941889
Country: Netherlands
Volume: 59
Issue: 1
Start Page Number: 71
End Page Number: 85
Publication Date: Mar 1993
Journal: Mathematical Programming (Series A)
Authors: ,
Abstract:

The strategy of Restricted Simplicial Decomposition is extended to convex programs with convex constraints. The resulting algorithm can also be viewed as an extenstion of the (scaled) Topkis-Veinott method of feasible directions in which the master problem involves optimization over a simplex rather than the usual line search. Global convergence of the method is proven and conditions are given under which the master problem will be solved a finite number of times. Computational testing with dense quadratic problems confirms that the method dramatically improves the Topkis-Veinott algorithm and that it is competitive with the generalized reduced gradient method.

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