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Method of reduction in convex programming

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Abstract

We present an algorithm which solves a convex program with faithfully convex (not necessarily differentiable) constraints. While finding a feasible starting point, the algorithm reduces the program to an equivalent program for which Slater's condition is satisfied. Included are algorithms for calculating various objects which have recently appeared in the literature. Stability of the algorithm is discussed.

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Author information

Authors and Affiliations

  1. Department of Mathematics, University of Alberta, Edmonton, Alberta, Canada

    Henry Wolkowicz (Associate Professor)

Authors
  1. Henry Wolkowicz
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Additional information

Communicated by A. V. Fiacco

This research was partially supported by Grant No. NSERC-A3388.

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Wolkowicz, H. Method of reduction in convex programming. J Optim Theory Appl 40, 349–378 (1983). https://doi.org/10.1007/BF00933505

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  • DOI: https://doi.org/10.1007/BF00933505

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