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The rate of convergence of Dykstra’s cyclic projections algorithm: The polyhedral case. (English) Zbl 0807.41019
Summary: Suppose $K$ is the intersection of a finite number of closed half-spaces in a Hilbert space $X$. Starting with any point $x\in X$, it is shown that the sequence of iterates $\{x\sb n\}$ generated by Dykstra’s cyclic projections algorithm satisfies the inequality $\Vert x\sb n- P\sb K(x)\Vert\le \rho c\sp n$ for all $n$, where $P\sb K(x)$ is the nearest point in $K$ to $x$, $\rho$ is a constant, and $0\le c< 1$. In the case when $K$ is the intersection of just two closed half-spaces, a stronger result is established: the sequence of iterates is either finite or satisfies $\Vert x\sb n- P\sb K(x)\Vert\le c\sp{n-1}\Vert x- P\sb K(x)\Vert$ for all $n$, where $c$ is the cosine of the angle between the two functionals which define the half-spaces. Moreover, the constant $c$ is the best possible. Applications are made to isotone and convex regression, and linear and quadratic programming.

41A65Abstract approximation theory
47N10Applications of operator theory in optimization, convex analysis, programming, economics
49M30Other numerical methods in calculus of variations
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