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A Feasible BFGS Interior Point Algorithm for Solving Convex Minimization Problems

✍ Scribed by Armand, Paul; Gilbert, Jean Charles; Jan-Jégou, Sophie

Book ID
118204407
Publisher
Society for Industrial and Applied Mathematics
Year
2000
Tongue
English
Weight
260 KB
Volume
11
Category
Article
ISSN
1052-6234

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A BFGS-IP algorithm for solving strongly
A BFGS-IP algorithm for solving strongly convex optimization problems with feasibility enforced by an exact penalty approach
✍ Paul Armand; J. Charles Gilbert; Sophie Jan-Jégou 📂 Article 📅 2002 🏛 Springer-Verlag 🌐 English ⚖ 289 KB

This paper introduces and analyses a new algorithm for minimizing a convex function subject to a finite number of convex inequality constraints. It is assumed that the Lagrangian of the problem is strongly convex. The algorithm combines interior point methods for dealing with the inequality constrai