Singular Riemannian barrier methods and gradient-projection dynamical systems for constrained optimization
Authors:
H. Attouch a;
J. Bolte a;
P. Redont a;
M. Teboulle b
| Affiliations: | a ACSIOM-CNRS UMR 5149, D partment de Math matiques, case 51, Universit Montpellier II, Place Eug ne Bataillon, 34095 Montpellier cedex 5, France |
| b School of Mathematical Sciences, Tel-Aviv University, Ramat-Aviv 69978, Israel |
DOI:
10.1080/02331930412331327184
Publication Frequency:
8 issues per year
Subjects:
Game Theory;
Linear & Nonlinear Optimization;
Operations Research;
Optimization;
SPC/Reliability/Quality Control;
Stochastic Models & Processes;
Number of References: 14
Formats available:
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Previously published as:
Mathematische Operationsforschung und Statistik. Series Optimization
(0323-3898)
until 1985
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Abstract
This work is devoted to the dynamical system (SRB): d (∂ h(x(t)))/dt+∇ Φ (x(t))∋ 0, with h a proper lower semicontinuous convex function. Existence and uniqueness of solutions are examined. Systems (SRB) include the class of gradient systems with respect to a Hessian Riemannian metric induced by a convex Legendre function h:
. Moreover, class (SRB) is closed in a variational sense: links are made with regularized Lotka-Volterra systems and the limit equations obtained by letting the barrier parameter go to 0. Of particular interest is the case h(x)= (1/2)|x|2+δ C(x): this way, one obtains a new gradient-projection method. System (SRB) bears a direct relation with the minimization of Φ over the domain of ∂ h; the asymptotic behaviour of solutions, as time goes to infinity, is a real issue, which is addressed for a convex Φ and a h of the form h=k+δ C, with k convex and C a finite-dimensional polyhedron.
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| Keywords: Dynamical systems; Continuous gradient method; Asymptotic analysis; Barrier methods in constrained optimization; Singular Hessian Riemannian metric; Convex Legendre functions; Bregman distances; AMS Subject Classification: 34A60; 37Bxx; 37Lxx; 37N40; 49K24 |
| view references (14) |

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partment de Math
ne Bataillon, 34095 Montpellier cedex 5, France
. Moreover, class (SRB) is closed in a variational sense: links are made with regularized Lotka-Volterra systems and the limit equations obtained by letting the barrier parameter go to 0. Of particular interest is the case h(x)= (1/2)|x|2+δ C(x): this way, one obtains a new gradient-projection method. System (SRB) bears a direct relation with the minimization of Φ over the domain of ∂ h; the asymptotic behaviour of solutions, as time goes to infinity, is a real issue, which is addressed for a convex Φ and a h of the form h=k+δ C, with k convex
and C a finite-dimensional polyhedron.
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