English, Article, Journal or magazine article edition: Constraint Aggregation Principle in Convex Optimization. Y.M. Ermoliev; A.V. Kryazhimskii; A. Ruszczynski

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Bookmark: http://trove.nla.gov.au/version/138069
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Constraint Aggregation Principle in Convex Optimization.
Author
  • Y.M. Ermoliev
  • A.V. Kryazhimskii
  • A. Ruszczynski
Physical Description
  • preprint
Notes
  • A general constraint aggregation technique is proposed for convex optimization problems. At each iteration a set of convex inequalities and linear equations is replaced by a single inequality formed as a linear combination of the original constraints. After solving the simplified subproblem, new aggregation coefficients are calculated and the iteration continues. This general aggregation principle is incorporated into a number of specific algorithms. Convergence of the new methods is proved and speed of convergence analyzed. It is shown that in case of linear programming, the method with aggregation has a polynomial complexity. Finally, application to decomposable problems is discussed.
  • RePEc:wop:iasawp:wp95015
Language
  • English
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