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.
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页码：325 / 340
页数：16
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