Primal–dual exterior point method for convex optimization

Primal–dual exterior point method for convex optimization

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Article ID: iaor2009661
Country: United Kingdom
Volume: 23
Issue: 1
Start Page Number: 141
End Page Number: 160
Publication Date: Feb 2008
Journal: Optimization Methods & Software
Authors:
Keywords: duality
Abstract:

We introduce and study the primal–dual exterior point (PDEP) method for convex optimization problems. The PDEP is based on the non-linear resealing (NR) multipliers method with dynamic scaling parameters update. The NR method at each step alternates finding the unconstrained minimizer of the Lagrangian for the equivalent problem with both Lagrange multipliers and scaling parameters vectors update. The NR step is replaced by solving the primal–dual (PD) system of equations. The application of the Newton method to the PD system leads to the PDEP method.

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