Separating plane algorithms for convex optimization |
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Authors: | Evgeni A. Nurminski |
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Affiliation: | (1) Institute of Applied Mathematics, Far Eastern Branch of the Russian Academy of Sciences, ul. Radio, 7., 690041 Vladivostok, Russia |
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Abstract: | The equivalent formulation of a convex optimization problem is the computation of a value of a conjugate function at the origin. The latter can be achieved by approximation of the epigraph of the conjugate function around the origin and gradual refinement of the approximation. This yields a generic algorithm of convex optimization which transforms into some well-known techniques when certain strategies of approximation are employed. It also suggests new algorithmic approaches with promising computational experience and provides a uniform treatment of constrained and unconstrained optimization. |
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Keywords: | Convex optimization Separating plane algorithms |
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