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Re: new program for GSL
- From: Brian Gough <bjg at network-theory dot co dot uk>
- To: Ewgenij Hübner <huebner at uni-trier dot de>
- Cc: gsl-discuss at sources dot redhat dot com
- Date: Fri, 4 Jun 2004 12:04:38 +0100
- Subject: Re: new program for GSL
- References: <200405281649.48566.huebner@uni-trier.de>
Ewgenij Hübner writes:
> I implemented the Kiviel's bundle algorithm (Ref.: "Proximity
> control in bundle methods for convex nondifferentiable
> minimization. Math. Programming 46 (1990)"). I tested other
> algorithm too (e.g."A version of the bundle idea for minimizing a
> nonsmooth function: conceptual idea, convergence analysis,
> numerical results. SIAM J. Optim. 2 (1992) "), but the algorithm
> of Kiviel seems to be very robust and, from computational point of
> view, the best for the praxis.
>
> In each step of the bundle method one have to solve a convex
> quadratic problem. For this problem I use the primal-dual interior
> point method of Mehrotra. I implemented this algorithm in a
> separate program und one can use it to solve the arbitrary problem
> of type min{xQx : Ax=b, Cx>=d} or min{xQx: Ax=b, x>=0} (Q positive
> semidefinit). (Ref.: "Wright, Stephen J. Primal dual interior
> point methods")
This looks interesting -- sorry for the delay in replying, it took me
a while to start to understand it. Could you send me copies of the
papers you mentioned so I can have a look in more detail? Thank you.
--
Brian Gough
Network Theory Ltd
15 Royal Park
Bristol BS8 3AL
United Kingdom
Tel: +44 (0)117 3179309
Fax: +44 (0)117 9048108
Web: http://www.network-theory.co.uk/