Complexity of convex optimization using geometry-based measures and a reference point
Author(s)Freund, Robert M.
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Our concern lies in solving the following convex optimization problem: minimize cx subject to Ax=b, x \in P, where P is a closed convex set. We bound the complexity of computing an almost-optimal solution of this problem in terms of natural geometry-based measures of the feasible region and the level-set of almost-optimal solutions, relative to a given reference point xr that might be close to the feasible region and/or the almost-optimal level set. This contrasts with other complexity bounds for convex optimization that rely on data-based condition numbers or algebraic measures, and that do not take into account any a priori reference point information. Keywords: Convex Optimization, Complexity, Interior-Point Method, Barrier Method.
Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.Title from cover. "September 2001."Includes bibliographical references (leaf 29).
Massachusetts Institute of Technology, Operations Research Center
Operations Research Center Working Paper;OR 358-01