Article ID: | iaor20162327 |
Volume: | 64 |
Issue: | 2 |
Start Page Number: | 355 |
End Page Number: | 378 |
Publication Date: | Jun 2016 |
Journal: | Computational Optimization and Applications |
Authors: | Boyd Stephen, Udell Madeleine |
Keywords: | heuristics |
We consider the problem of minimizing a sum of non‐convex functions over a compact domain, subject to linear inequality and equality constraints. Approximate solutions can be found by solving a convexified version of the problem, in which each function in the objective is replaced by its convex envelope. We propose a randomized algorithm to solve the convexified problem which finds an