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Convex Optimization by Radial Search

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  • Y.M. Ermoliev
  • A. Ruszczynski

Abstract

A convex nonsmooth optimization problem is replaced by a sequence of line search problems along recursively updated rays. Convergence of the method is proved and applications to linear inequalities, constraint aggregation and saddle point seeking indicated.

Suggested Citation

  • Y.M. Ermoliev & A. Ruszczynski, 1995. "Convex Optimization by Radial Search," Working Papers wp95036, International Institute for Applied Systems Analysis.
    • Handle: RePEc:wop:iasawp:wp95036
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    References listed on IDEAS

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    1. Y.M. Ermoliev & A.V. Kryazhimskii & A. Ruszczynski, 1995. "Constraint Aggregation Principle in Convex Optimization," Working Papers wp95015, International Institute for Applied Systems Analysis.
    2. Andrzej Ruszczyński, 1987. "A Linearization Method for Nonsmooth Stochastic Programming Problems," Mathematics of Operations Research, INFORMS, vol. 12(1), pages 32-49, February.
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