Projected gradient algorithms for optimization over order simplices

A primal-dual algorithm is proposed for computing the distance from a point to an order simplex. An advantage of the algorithm is that, for any initial active set, it can adjust the active set to improve both primal and dual feasibility until the optimal active set is found. We verify that the algor...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Optimization methods & software Jg. 29; H. 5; S. 1090 - 1117
Hauptverfasser: Hu, Yi-Qing, Hao, Chun-Lin, Dai, Yu-Hong
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Abingdon Taylor & Francis 03.09.2014
Taylor & Francis Ltd
Schlagworte:
Algorithms
constrained optimization
Optimization
order simplex
primal and dual feasibility
projected gradient
ISSN:1055-6788, 1029-4937
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:A primal-dual algorithm is proposed for computing the distance from a point to an order simplex. An advantage of the algorithm is that, for any initial active set, it can adjust the active set to improve both primal and dual feasibility until the optimal active set is found. We verify that the algorithm takes only O(n) elementary arithmetic operations, where n is the problem dimension. Numerical results demonstrate the efficiency of the primal-dual algorithm compared with the primal feasible algorithm and the dual feasible algorithm. The primal-dual algorithm proves very useful in projected gradient algorithms applied to general order simplex constrained problems since a series of projection subproblems are requested there and the primal-dual algorithm makes warm starts possible.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1055-6788
1029-4937
DOI:10.1080/10556788.2014.911872