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Convergence Properties of a Conditional ε-Subgradient Method Applied to Linear Programs

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Abstract

We propose a new conditional ε-subgradient method intended for solving general convex programs, Convergence properties of the method are investigated. It is proved that for a linear program with a compact set of solutions, the method generates a sequence of feasible approximations whose objective function values converge to the optimal value at a rate that is at least linear.

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  1. European University of Finance, Information Systems, Management and Business, Kiev, Ukraine

    Sergei V. Rzhevskii

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  1. Sergei V. Rzhevskii
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Rzhevskii, S.V. Convergence Properties of a Conditional ε-Subgradient Method Applied to Linear Programs. Comput Optim Applic 31, 145–171 (2005). https://doi.org/10.1007/s10589-005-2178-9

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  • DOI: https://doi.org/10.1007/s10589-005-2178-9