A Randomized Cutting Plane Method with Probabilistic Geometric Convergence

DOI10.1137/080742506zbMath1211.90169MaRDI QIDQ3083327

Fabrizio Dabbene, P. S. Shcherbakov, Boris T. Polyak

Publication date: 21 March 2011

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

Full work available at URL: https://doi.org/10.1137/080742506

zbMATH Keywords

convex optimization; linear matrix inequalities; randomized algorithms; hit-and-run

Mathematics Subject Classification ID

65K05: Numerical mathematical programming methods

90C25: Convex programming

65K10: Numerical optimization and variational techniques

90C15: Stochastic programming

Related Items

Random sampling: billiard walk algorithm, Optimization with a class of multivariate integral stochastic order constraints, Randomized methods based on new Monte Carlo schemes for control and optimization, A flexible elicitation procedure for additive model scale constants, A stochastic subspace approach to gradient-free optimization in high dimensions, Efficient sampling in spectrahedra and volume approximation, Research on probabilistic methods for control system design, Randomized methods for design of uncertain systems: sample complexity and sequential algorithms, Why does Monte Carlo fail to work properly in high-dimensional optimization problems?

Uses Software

• SeDuMi
• YALMIP