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Barrier subgradient method

Author

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  • NESTEROV, Y.

    (Université catholique de Louvain (UCL). Center for Operations Research and Econometrics (CORE))

Abstract

In this paper we develop a new primal-dual subgradient method for nonsmooth convex optimization problems. This scheme is based on a self-concordant barrier for the basic feasible set. It is suitable for finding approximate solutions with certain relative accuracy. We discuss some applications of this technique including fractional covering problem, maximal concurrent flow problem, semidefinite relaxations and nonlinear online optimization.

Suggested Citation

  • Nesterov, Y., 2008. "Barrier subgradient method," CORE Discussion Papers 2008060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2008060
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    File URL: http://www.uclouvain.be/cps/ucl/doc/core/documents/coredp2008_60.pdf
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    References listed on IDEAS

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