iterative method

Simple Iterative Methods for Linear Optimization over Convex Sets

  • Daniel Dadush
  • Christopher Hojny
  • Sophie Huiberts
  • Stefan Weltge
    • Categories Linear Programming Tags , ,

    We give simple iterative methods for computing approximately optimal primal and dual solutions for the problem of maximizing a linear functional over a convex set $K$ given by a separation oracle. In contrast to prior work, our algorithms directly output primal and dual solutions and avoid a common requirement of binary search on the objective … Read more

    trlib: A vector-free implementation of the GLTR method for iterative solution of the trust region problem

  • Christian Kirches
  • Andreas Potschka
  • Felix Lenders
    • Categories Optimization Software and Modeling Systems, Quadratic Programming Tags , , ,

    We describe trlib, a library that implements a Variant of Gould’s Generalized Lanczos method (Gould et al. in SIAM J. Opt. 9(2), 504–525, 1999) for solving the trust region problem. Our implementation has several distinct features that set it apart from preexisting ones. We implement both conjugate gradient (CG) and Lanczos iterations for assembly of … Read more