Abstract
In this paper, we propose an interior-point method for minimizing a convex function subject to linear constraints. Our method employs ideas from a previously studied method due to Fan and Nekooie in a different context. Under certain assumptions, we show that the proposed method has a fast rate of convergence. A numerical example is included to illustrate the method.
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Communicated by R. A. Tapia
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Lin, C.Y., Nekooie, B. & Fan, M.K.H. On convex optimization with linear constraints. J Optim Theory Appl 86, 407–420 (1995). https://doi.org/10.1007/BF02192087
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DOI: https://doi.org/10.1007/BF02192087