We present a partial first-order affine-scaling method for solving smooth optimization with linear inequality constraints. At each iteration, the algorithm considers a subset of the constraints to reduce the complexit...We present a partial first-order affine-scaling method for solving smooth optimization with linear inequality constraints. At each iteration, the algorithm considers a subset of the constraints to reduce the complexity. We prove the global convergence of the algorithm for general smooth objective functions, and show it converges at sublinear rate when the objective function is quadratic. Numerical experiments indicate that our algorithm is efficient.展开更多
基金supported by NSFC(Grant Nos.11331012 and 11461161005)
文摘We present a partial first-order affine-scaling method for solving smooth optimization with linear inequality constraints. At each iteration, the algorithm considers a subset of the constraints to reduce the complexity. We prove the global convergence of the algorithm for general smooth objective functions, and show it converges at sublinear rate when the objective function is quadratic. Numerical experiments indicate that our algorithm is efficient.
