Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142958 | Operations Research Letters | 2012 | 5 Pages |
Abstract
We consider the problem of solving convex differentiable problems with simple constraints. We devise an improved ellipsoid method that relies on improved deep cuts exploiting the differentiability property of the objective function as well as the ability to compute an orthogonal projection onto the feasible set. The linear rate of convergence of the objective function values sequence is proven and several numerical results illustrate the potential advantage of this approach over the classical ellipsoid method.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Amir Beck, Shoham Sabach,