Continuous linearization method with a variable metric for problems in convex programming
A continuous method of linearization in a Hilbert space \(H\) with a variable metric is considered for solving minimization problems \[ J(u)\to\inf, \quad u\in{V}=\{u\in{H}\mid g_{i}(u)\leq{0},\;i=\overline{1,l}\} . \] The method proposed employs an operator \(G(u)\), which changes the metric of the space \(H\). In particular, when \(G(u)=J(u)\) this method can be interpreted as the continuous counterpart of Newton's method, which is a highly efficient computational tool for solving practical minimization problems. Its convergence is examined, a regularized variant of the method is proposed for problems with inaccurate input data.
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