A finite steepest-ascent algorithm for maximizing piecewise-linear concave functions |
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| Authors: | M. S. Bazaraa J. J. Goode R. L. Rardin |
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| Affiliation: | (1) School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia;(2) School of Mathematics, Georgia Institute of Technology, Atlanta, Georgia |
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| Abstract: | In this note, we describe a finitely convergent steepest-ascent scheme for maximizing piecewise-linear concave functions. Given any point, the algorithm moves along the direction of steepest ascent, that is, along the shortest subgradient, until a new ridge is reached. The overall process is then repeated by moving along the new steepest-ascent direction. |
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| Keywords: | Nonlinear programming nondifferentiable optimization subgradient search steepest-ascent algorithm |
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