An Efficient Primal-Dual Interior-Point Method for Minimizing a Sum of Euclidean Norms

Abstract

The problem of minimizing a sum of Euclidean norms dates from the 17th century and may be the earliest example of duality in the mathematical programming literature. This nonsmooth optimization problem arises in many different kinds of modern scientific applications. We derive a primal-dual interior-point algorithm for the problem, by applying Newton's method directly to a system of nonlinear equations characterizing primal and dual feasibility and a perturbed complementarity condition.

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Document Details

Document Type
Technical Report
Publication Date
Aug 17, 1998
Accession Number
AD1020284

Entities

People

  • Andrew R. Conn
  • Edmund Christiansen
  • Knud D. Andersen
  • Michael L. Overton

Organizations

  • Courant Institute of Mathematical Sciences, NYU

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DTIC Thesaurus Topics

  • Algorithms
  • Computer Programming
  • Equations
  • Evolutionary Algorithms
  • Heuristic Methods
  • Literature
  • Mathematical Programming
  • Mathematics
  • Optimization

Fields of Study

  • Mathematics

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  • Operations Research