Constraint Aggregation Principle in Convex Optimization

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4131 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4131 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4131 archive 351 disk0/00/00/45/77 2016-01-15 02:06:23 2021-08-27 17:15:23 2016-01-15 02:06:23 monograph show 3 Ermoliev Y.M. 1445 Kryazhimskiy A.V. 1514 Ruszczynski A. 1475 Constraint Aggregation Principle in Convex Optimization pub iis_met iis_sys prog_opt A general constraint aggregation technique is proposed for convex optimization problems. At each iteration a set of convex inequalities and linear equations is replaced by a single inequality formed as a linear combination of the original constraints. After solving the simplified subproblem, new aggregation coefficients are calculated and the iteration continues. This general aggregation principle is incorporated into a number of specific algorithms. Convergence of the new methods is proved and speed of convergence analyzed. It is shown that in case of linear programming, the method with aggregation has a polynomial complexity. Finally, application to decomposable problems is discussed. 1995-02 published WP-95-015 WP-95-015 10 338 1393 1544 public working_paper IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book