Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming

DOI10.1137/0803039MaRDI QIDQ4277511zbMATH OpenOpenAlexFDO

Authors Ciyou Zhu, R. T. Rockafellar

Publication date 6 June 1994

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/62e97add3178020fcb655faff3776dc6ed11e695

zbMATH Keywords

linear-quadratic programmingconvex-concave quadratic Lagrangianprimal-dual projected gradient and conjugate gradient algorithms

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20)

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Cited in

(19)

• Newton-type methods for stochastic programming.
• IMPROVED PROJECTED GRADIENT ALGORITHMS FOR SINGLY LINEARLY CONSTRAINED QUADRATIC PROGRAMS SUBJECT TO LOWER AND UPPER BOUNDS
• Newton's method for quadratic stochastic programs with recourse
• A parallel inexact Newton method for stochastic programs with recourse
• An SQP algorithm for extended linear-quadratic problems in stochastic programming
• On the convergence of conditional -subgradient methods for convex programs and convex-concave saddle-point problems.
• Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
• A predictor-corrector method for extended linear-quadratic programming
• An SQP-type method and its application in stochastic programs
• An inexact Lagrange-Newton method for stochastic quadratic programs with recourse
• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
• Sensitivity analysis for generalized linear-quadratic problems
• Superlinearly convergent approximate Newton methods for LC\(^ 1\) optimization problems
• Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗
• Solving large-scale minimax problems with the primal-dual steepest descent algorithm
• A subgradient-type method for the equilibrium problem over the fixed point set and its applications
• Modified proximal point algorithm for extended linear-quadratic programming
• Globally and superlinearly convergent trust-region algorithm for convex \(SC^ 1\)-minimization problems and its application to stochastic programs
• A dual gradient-projection method for large-scale strictly convex quadratic problems

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