The Continuous Projective Sumt Method for Convex Programming,
GEORGE WASHINGTON UNIV WASHINGTON DC INST FOR MANAGEMENT SCIENCE AND ENGINEERING
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An algorithm for solving convex programming problems is derived from the differential equations characterizing the trajectory of unconstrained minimizers of the classical logarithmic barrier function method. Convergence of this continuous Projective SUMT method to a global solution of a convex programming problem is proved under minimal assumptions. Extension of the algorithm to a form which handles linear equality constraints produces a differential equation analogue of Karmarkars projective method for linear programming. The concluding discussion includes a discrete form of the algorithm.
- Numerical Mathematics