A deep cut ellipsoid algorithm for convex programming
AbstractThis paper proposes a deep cut version of the ellipsoid algorithm for solving a general class of continuous convex programming problems. In each step the algorithm does not require more computational effort to construct these deep cuts than its corresponding central cut version. Rules that prevent some of the numerical instabilities and theoretical drawbacks usually associated with the algorithm are also provided. Moreover, for a large class of convex programs a simple proof of its rate of convergence is given and the relation with previously known results is discussed. Finally some computational results of the deep and central cut version of the algorithm applied to a minâ€”max stochastic queue location problem are reported.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number 1765011633.
Date of creation: 01 Jan 1994
Date of revision:
Contact details of provider:
Web page: http://www.few.eur.nl/few
location theory; convex programming; deep cut ellipsoid algorithm; minâ€”max programming; rate of convergence;
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Komunjer, Ivana, 2002.
"Quasi-Maximum Likelihood Estimation for Conditional Quantiles,"
1139, California Institute of Technology, Division of the Humanities and Social Sciences.
- Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anneke Kop).
If references are entirely missing, you can add them using this form.