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An efficient descent direction method with cutting planes

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  • Balázs Torma
  • Boglárka G.-Tóth

Abstract

In this paper, a new hybrid method is proposed which combines the advantages of descent methods and cutting plane approaches. The new method gets fast to near-optimal region by using cutting planes and preserves the good convergence properties of descent methods near the optimum. The method is tested on convex functions, least squares problems and on parameter estimation by comparing its performance to well-known methods. Numerical experiments show that the proposed method is very efficient on all the examined problem types and performs in average much better than the benchmark methods. Copyright Springer-Verlag 2010

Suggested Citation

  • Balázs Torma & Boglárka G.-Tóth, 2010. "An efficient descent direction method with cutting planes," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 18(2), pages 105-130, June.
    • Handle: RePEc:spr:cejnor:v:18:y:2010:i:2:p:105-130
    DOI: 10.1007/s10100-009-0085-3
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    References listed on IDEAS

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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    3. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Balázs Lévai & Balázs Bánhelyi, 2013. "An optimization technique for verified location of trajectories with prescribed geometrical behaviour in the chaotic forced damped pendulum," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(4), pages 757-767, December.

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