A randomized algorithm to optimize over certain convex-sets

A randomized algorithm to optimize over certain convex-sets

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Article ID: iaor20041783
Country: United States
Volume: 20
Issue: 3
Start Page Number: 529
End Page Number: 549
Publication Date: Aug 1995
Journal: Mathematics of Operations Research
Authors: , ,
Abstract:

This paper presents a randomized polynomial time algorithm to nearly minimize a linear function over an up-monotone convex set in the positive orthant given only by a membership oracle. Our original motivation for this is a stochastic optimization problem called the component commonality problem in the literature.

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