A first-order interior-point method for linearly constrained smooth optimization |
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| Authors: | Paul Tseng Immanuel M Bomze Werner Schachinger |
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| Institution: | (3) Dept. Computer Sci. and Engin. Univ. Minnesota, Minneapolis, MN 55455, USA;(4) Center for Applied Optim. Dept. Industrial and Systems Engin. Univ. Florida, Gainesville, FL 32611, USA;(5) Dept. Computer Sci. and Engin. Univ. Minnesota, Minneapolis, MN 55455, USA |
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| Abstract: | We propose a first-order interior-point method for linearly constrained smooth optimization that unifies and extends first-order
affine-scaling method and replicator dynamics method for standard quadratic programming. Global convergence and, in the case
of quadratic program, (sub)linear convergence rate and iterate convergence results are derived. Numerical experience on simplex
constrained problems with 1000 variables is reported. |
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