Perturbation Methods for Saddle Point Computation
AbstractA general class of iterative methods for saddle point seeking is developed. The directions used are subgradients evaluated at perturbed points. Convergence of the methods is proved and alternative strategies for implementation are discussed. The procedure suggests scalable algorithms for solving large-scale linear programs via saddle points. For illustration, some encouraging tests with the standard Lagrangian of linear programs from the Netlib library are reported.
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Bibliographic InfoPaper provided by International Institute for Applied Systems Analysis in its series Working Papers with number wp94038.
Date of creation: May 1994
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- A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis.
- M.J. Kallio & A. Ruszczynski, 1994. "Parallel Solution of Linear Programs Via Nash Equilibria," Working Papers wp94015, International Institute for Applied Systems Analysis.
- Flam, Sjur & Ruszczynski, A., 2006.
"Computing Normalized Equilibria in Convex-Concave Games,"
2006:9, Lund University, Department of Economics.
- Flåm, Sjur Didrik & Ruszczynski, A., 2006. "Computing Normalized Equilibria in Convex-Concave Games," Working Papers in Economics 05/06, University of Bergen, Department of Economics.
- S.D. Flam & A. Ruszczynski, 1994.
"Noncooperative Convex Games: Computing Equilibrium By Partial Regularization,"
wp94042, International Institute for Applied Systems Analysis.
- Flam, S.D. & Ruszczynski, A., 2000. "Noncooperative Convex Games: Computing Equilibrium by Partial Regularization," Norway; Department of Economics, University of Bergen 1200, Department of Economics, University of Bergen.
- M.J. Kallio & C.H. Rosa, 1994. "Large-Scale Convex Optimization via Saddle Point Computation," Working Papers wp94107, International Institute for Applied Systems Analysis.
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