A CHOLESKY DUAL METHOD FOR PROXIMAL PIECEWISE-LINEAR PROGRAMMING

被引：33

作者：

KIWIEL, KC

机构：

[1] Systems Research Institute, Warsaw, PL-01-447

来源：

NUMERISCHE MATHEMATIK | 1994年 / 68卷 / 03期

关键词：

D O I：

10.1007/s002110050065

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A quadratic programming method is given for minimizing a sum of piecewise linear functions and a proximal quadratic term, subject to simple bounds on variables. It may be used for search direction finding in nondifferentiable optimization algorithms. An efficient implementation is described that updates a Cholesky factorization of active constraints and provides good accuracy via iterative refinement. Numerical experience is reported for some large problems.

引用

页码：325 / 340

页数：16

共 39 条

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