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Interior-point Method
Interior-point methods (also referred to as barrier methods or IPMs) are a certain class of algorithms that solve linear and nonlinear convex optimization problems. An interior point method was discovered by Soviet mathematician I. I. Dikin in 1967 and reinvented in the U.S. in the mid-1980s. In 1984, Narendra Karmarkar developed a method for linear programming called Karmarkar's algorithm, which runs in provably polynomial time and is also very efficient in practice. It enabled solutions of linear programming problems that were beyond the capabilities of the simplex method. Contrary to the simplex method, it reaches a best solution by traversing the interior of the feasible region. The method can be generalized to convex programming based on a self-concordant barrier function used to encode the convex set. Any convex optimization problem can be transformed into minimizing (or maximizing) a linear function over a convex set by converting to the epigraph form. The idea of enc ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Karmarkar
Narendra Krishna Karmarkar (born Circa 1956) is an Indian Mathematician. Karmarkar developed Karmarkar's algorithm. He is listed as an ISI highly cited researcher. He invented one of the first provably polynomial time algorithms for linear programming, which is generally referred to as an interior point method. The algorithm is a cornerstone in the field of Linear Programming. He published his famous result in 1984 while he was working for Bell Laboratories in New Jersey. Biography Karmarkar received his B.Tech in Electrical Engineering from IIT Bombay in 1978, MS from the California Institute of Technology in 1979, and PhD in Computer Science from the University of California, Berkeley in 1983 under the supervision of Richard M. Karp. Karmarkar was a post-doctoral research fellow at IBM research (1983), Member of Technical Staff and fellow at Mathematical Sciences Research Center, AT&T Bell Laboratories (1983-1998), professor of mathematics at M.I.T. (1991), at Institute fo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Yurii Nesterov
Yurii Nesterov is a Russian mathematician, an internationally recognized expert in convex optimization, especially in the development of efficient algorithms and numerical optimization analysis. He is currently a professor at the University of Louvain (UCLouvain). Biography In 1977, Yurii Nesterov graduated in applied mathematics at Moscow State University. From 1977 to 1992 he was a researcher at the Central Economic Mathematical Institute of the Russian Academy of Sciences. Since 1993, he has been working at UCLouvain, specifically in the Department of Mathematical Engineering from the Louvain School of Engineering, Center for Operations Research and Econometrics. In 2000, Nesterov received the Dantzig Prize. In 2009, Nesterov won the John von Neumann Theory Prize. In 2016, Nesterov received the EURO Gold Medal. Academic work Nesterov is most famous for his work in convex optimization, including his 2004 book, considered a canonical reference on the subject. His main nov ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Newton Method
In numerical analysis, Newton's method, also known as the Newton–Raphson method, named after Isaac Newton and Joseph Raphson, is a root-finding algorithm which produces successively better approximations to the roots (or zeroes) of a real-valued function. The most basic version starts with a single-variable function defined for a real variable , the function's derivative , and an initial guess for a root of . If the function satisfies sufficient assumptions and the initial guess is close, then :x_ = x_0 - \frac is a better approximation of the root than . Geometrically, is the intersection of the -axis and the tangent of the graph of at : that is, the improved guess is the unique root of the linear approximation at the initial point. The process is repeated as :x_ = x_n - \frac until a sufficiently precise value is reached. This algorithm is first in the class of Householder's methods, succeeded by Halley's method. The method can also be extended to complex fun ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Jacobian Matrix And Determinant
In vector calculus, the Jacobian matrix (, ) of a vector-valued function of several variables is the matrix of all its first-order partial derivatives. When this matrix is square, that is, when the function takes the same number of variables as input as the number of vector components of its output, its determinant is referred to as the Jacobian determinant. Both the matrix and (if applicable) the determinant are often referred to simply as the Jacobian in literature. Suppose is a function such that each of its first-order partial derivatives exist on . This function takes a point as input and produces the vector as output. Then the Jacobian matrix of is defined to be an matrix, denoted by , whose th entry is \mathbf J_ = \frac, or explicitly :\mathbf J = \begin \dfrac & \cdots & \dfrac \end = \begin \nabla^ f_1 \\ \vdots \\ \nabla^ f_m \end = \begin \dfrac & \cdots & \dfrac\\ \vdots & \ddots & \vdots\\ \dfrac & \c ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
KKT Conditions
KKT may refer to: * Karush–Kuhn–Tucker conditions, in mathematical optimization of nonlinear programming * kkt ( hu, közkereseti társaság, links=no), a type of general partnership in Hungary * Koi language, of Nepal, by ISO 639-3 code * Kappa Kappa Tau ''Scream Queens'' is an American satirical black comedy slasher television series that aired on Fox from September 22, 2015, to December 20, 2016. The series was created by Ryan Murphy, Brad Falchuk, and Ian Brennan and produced by Murphy, Fa ..., a fictional sorority in the television series '' Scream Queens'' {{disambiguation ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Lagrange Duality
In mathematical optimization theory, duality or the duality principle is the principle that optimization problems may be viewed from either of two perspectives, the primal problem or the dual problem. If the primal is a minimization problem then the dual is a maximization problem (and vice versa). Any feasible solution to the primal (minimization) problem is at least as large as any feasible solution to the dual (maximization) problem. Therefore, the solution to the primal is an upper bound to the solution of the dual, and the solution of the dual is a lower bound to the solution of the primal. This fact is called weak duality. In general, the optimal values of the primal and dual problems need not be equal. Their difference is called the duality gap. For convex optimization problems, the duality gap is zero under a constraint qualification condition. This fact is called strong duality. Dual problem Usually the term "dual problem" refers to the ''Lagrangian dual problem'' but other ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Lagrange Multiplier
In mathematical optimization, the method of Lagrange multipliers is a strategy for finding the local maxima and minima of a function subject to equality constraints (i.e., subject to the condition that one or more equations have to be satisfied exactly by the chosen values of the variables). It is named after the mathematician Joseph-Louis Lagrange. The basic idea is to convert a constrained problem into a form such that the derivative test of an unconstrained problem can still be applied. The relationship between the gradient of the function and gradients of the constraints rather naturally leads to a reformulation of the original problem, known as the Lagrangian function. The method can be summarized as follows: in order to find the maximum or minimum of a function f(x) subjected to the equality constraint g(x) = 0, form the Lagrangian function :\mathcal(x, \lambda) = f(x) + \lambda g(x) and find the stationary points of \mathcal considered as a function of x and the Lagrange m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Gradient
In vector calculus, the gradient of a scalar-valued differentiable function of several variables is the vector field (or vector-valued function) \nabla f whose value at a point p is the "direction and rate of fastest increase". If the gradient of a function is non-zero at a point , the direction of the gradient is the direction in which the function increases most quickly from , and the magnitude of the gradient is the rate of increase in that direction, the greatest absolute directional derivative. Further, a point where the gradient is the zero vector is known as a stationary point. The gradient thus plays a fundamental role in optimization theory, where it is used to maximize a function by gradient ascent. In coordinate-free terms, the gradient of a function f(\bf) may be defined by: :df=\nabla f \cdot d\bf where ''df'' is the total infinitesimal change in ''f'' for an infinitesimal displacement d\bf, and is seen to be maximal when d\bf is in the direction of the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Nonlinear Optimization
In mathematics, nonlinear programming (NLP) is the process of solving an optimization problem where some of the constraints or the objective function are nonlinear. An optimization problem is one of calculation of the extrema (maxima, minima or stationary points) of an objective function over a set of unknown real variables and conditional to the satisfaction of a system of equalities and inequalities, collectively termed constraints. It is the sub-field of mathematical optimization that deals with problems that are not linear. Applicability A typical non-convex problem is that of optimizing transportation costs by selection from a set of transportation methods, one or more of which exhibit economies of scale, with various connectivities and capacity constraints. An example would be petroleum product transport given a selection or combination of pipeline, rail tanker, road tanker, river barge, or coastal tankship. Owing to economic batch size the cost functions may have discontin ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mehrotra Predictor–corrector Method
Mehrotra's predictor–corrector method in optimization is a specific interior point method for linear programming. It was proposed in 1989 by Sanjay Mehrotra. The method is based on the fact that at each iteration of an interior point algorithm it is necessary to compute the Cholesky decomposition (factorization) of a large matrix to find the search direction. The factorization step is the most computationally expensive step in the algorithm. Therefore, it makes sense to use the same decomposition more than once before recomputing it. At each iteration of the algorithm, Mehrotra's predictor–corrector method uses the same Cholesky decomposition to find two different directions: a predictor and a corrector. The idea is to first compute an optimizing search direction based on a first order term (predictor). The step size that can be taken in this direction is used to evaluate how much centrality correction is needed. Then, a corrector term is computed: this contains both a centrali ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ellipsoid Method
In mathematical optimization, the ellipsoid method is an iterative method for minimizing convex functions. When specialized to solving feasible linear optimization problems with rational data, the ellipsoid method is an algorithm which finds an optimal solution in a number of steps that is polynomial in the input size. The ellipsoid method generates a sequence of ellipsoids whose volume uniformly decreases at every step, thus enclosing a minimizer of a convex function. History The ellipsoid method has a long history. As an iterative method, a preliminary version was introduced by Naum Z. Shor. In 1972, an approximation algorithm for real convex minimization was studied by Arkadi Nemirovski and David B. Yudin (Judin). As an algorithm for solving linear programming problems with rational data, the ellipsoid algorithm was studied by Leonid Khachiyan; Khachiyan's achievement was to prove the polynomial-time solvability of linear programs. This was a notable step from a theore ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Leonid Khachiyan
Leonid Genrikhovich Khachiyan (; russian: Леони́д Ге́нрихович Хачия́н; May 3, 1952April 29, 2005) was a Soviet and American mathematician and computer scientist. He was most famous for his ellipsoid algorithm (1979) for linear programming, which was the first such algorithm known to have a polynomial running time. Even though this algorithm was shown to be impractical, it has inspired other randomized algorithms for convex programming and is considered a significant theoretical breakthrough. Early life and education Khachiyan was born on May 3, 1952, in Leningrad to Armenian parents Genrikh Borisovich Khachiyan, a mathematician and professor of theoretical mechanics, and Zhanna Saakovna Khachiyan, a civil engineer. His grandparents were Karabakh Armenians. He had two brothers: Boris and Yevgeniy (Eugene). His family moved to Moscow in 1961, when he was nine. He received a master's degree from the Moscow Institute of Physics and Technology. In 1978 he e ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
