an:07043587
Zbl 1461.65153
Gu, Ran; Yuan, Ya Xiang
A partial first-order affine-scaling method
EN
Acta Math. Sin., Engl. Ser. 35, No. 1, 1-16 (2019).
1439-8516 1439-7617
2019
j
65K05 90C30 90C51
linear inequality constraints; affine scaling; interior point
Summary: 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.