Convex Optimization by Radial Search
A convex nonsmooth optimization problem is replaced by a sequence of line search problems along recursively updated rays. Convergence of the method is proved and applications to linear inequalities, constraint aggregation and saddle point seeking indicated.
|Date of creation:||Apr 1995|
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- Y.M. Ermoliev & A.V. Kryazhimskii & A. Ruszczynski, 1995. "Constraint Aggregation Principle in Convex Optimization," Working Papers wp95015, International Institute for Applied Systems Analysis.
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