A sequential cutting plane algorithm for solving convex NLP problems

A sequential cutting plane algorithm for solving convex NLP problems

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Article ID: iaor20084123
Country: Netherlands
Volume: 173
Issue: 2
Start Page Number: 444
End Page Number: 464
Publication Date: Sep 2006
Journal: European Journal of Operational Research
Authors: ,
Keywords: cutting plane algorithms
Abstract:

In this paper we look at a new algorithm for solving convex nonlinear programming optimization problems. The algorithm is a cutting plane-based method, where the sizes of the subproblems remain fixed, thus avoiding the issue with constantly growing subproblems we have for the classical Kelley's cutting plane algorithm. Initial numerical experiments indicate that the algorithm is considerably faster than Kelley's cutting plane algorithm and also competitive with existing nonlinear programming algorithms.

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