A first-order interior-point method for linearly constrained smooth optimization

作者：Tseng Paul; Bomze Immanuel M^*; Schachinger Werner

来源：Mathematical Programming, 2011, 127(2): 399-424.

DOI：10.1007/s10107-009-0292-7

• Linearly constrained optimization
• Affine scaling
• Replicator dynamics
• Interior-point method
• Global convergence
• Sublinear convergence rate

We propose a first-order interior-point method for linearly constrained smooth optimization that unifies and extends first-order affine-scaling method and replicator dynamics method for standard quadratic programming. Global convergence and, in the case of quadratic program, (sub)linear convergence rate and iterate convergence results are derived. Numerical experience on simplex constrained problems with 1000 variables is reported.

• 出版日期2011-4