Article ID: | iaor200934349 |
Country: | United States |
Volume: | 31 |
Issue: | 2 |
Start Page Number: | 398 |
End Page Number: | 417 |
Publication Date: | May 2006 |
Journal: | Mathematics of Operations Research |
Authors: | Teboulle Marc, Beck Amir |
This paper presents a new dual formulation for quadratically constrained convex programs. The special structure of the derived dual problem allows us to apply the gradient projection algorithm to produce a simple explicit method involving only elementary vector–matrix operations, proven to converge at a linear rate.