Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/65341
Type: Artigo
Title: New algorithms for maximization of concave functions with box constraints
Author: Friedlander, A.
Martínez, J. M.
Abstract: This paper considers the problem of maximizing a differentiable concave function subject to bound constraints and a Lipschitz condition on the gradient, using active set strategies. A general model algorithm for this problem is proposed. The algorithm includes a procedure for deciding when to leave a face of the polytope without having reached a stationary point relative to that face, guaranteing that return to that face excludes a neighborhood of fixed size of the current point. Mild conditions are required to abandon a face, which may possibly never be visited again, and we show that any face may be revisited al most a finite number of times. We show a bound for this quantity. We prove global convergence for this algorithm and we also show that it identifies the correct optimal face in a finite number of iterations, even without any nondegeneracy condition, when we use the "chopped gradient" introduced in [10], as the direction on which we leave any face. We combine the active set strategy proposed with a gradient projection method following the approach of More-Toraldo ([23,24]), in order to accelerate the identification of the correct optimal face.
This paper considers the problem of maximizing a differentiable concave function subject to bound constraints and a Lipschitz condition on the gradient, using active set strategies. A general model algorithm for this problem is proposed. The algorithm inc
metadata.dc.description.abstractalternative: Nouveaux algorithmes pour la maximisation de fonctions concaves à variables bornées. Ce travail considère le problème de maximiser une fonction concave differentiable soumise à des restrictions de bornes sur les variables et dont le gradient satisfait aux
Subject: Otimização matemática
Convergência global
Country: França
Editor: EDP Sciences
Citation: Rairo-recherche Operationnelle-operations Research. Dunod, v. 26, n. 3, n. 209, n. 236, 1992.
Rights: aberto
Identifier DOI: 0
Address: http://www.numdam.org/item/?id=RO_1992__26_3_209_0
Date Issue: 1992
Appears in Collections:IMECC - Artigos e Outros Documentos

Files in This Item:
File Description SizeFormat 
A1992JL81700001.pdf2 MBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.