A linearly convergent dual-based gradient projection algorithm for quadratically constrained convex minimization

A linearly convergent dual-based gradient projection algorithm for quadratically constrained convex minimization

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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: ,
Abstract:

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.

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