Convex Optimization - Methods

Methods

Convex minimization problems can be solved by the following contemporary methods:

  • "Bundle methods" (Wolfe, LemarĂ©chal), and
  • Subgradient projection methods (Polyak),
  • Interior-point methods (Nemirovskii and Nesterov).

Other methods of interest:

  • Cutting-plane methods
  • Ellipsoid method
  • Subgradient method

Subgradient methods can be implemented simply and so are widely used.

Read more about this topic:  Convex Optimization

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