On Solving Convex Optimization Problems with Linear Ascending Constraints

Zizhuo Wang

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arXiv · 1212.4701

On Solving Convex Optimization Problems with Linear Ascending Constraints

Zizhuo Wang

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Abstract

In this paper, we propose two algorithms for solving convex optimization problems with linear ascending constraints. When the objective function is separable, we propose a dual method which terminates in a finite number of iterations. In particular, the worst case complexity of our dual method improves over the best-known result for this problem in Padakandla and Sundaresan [SIAM J. Optimization, 20 (2009), pp. 1185-1204]. We then propose a gradient projection method to solve a more general class of problems in which the objective function is not necessarily separable. Numerical experiments show that both our algorithms work well in test problems.

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Zizhuo Wang. 2012-12-19. On Solving Convex Optimization Problems with Linear Ascending Constraints. https://arxiv.org/abs/1212.4701

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