An Outer Approximation Algorithm for Solving General Convex Programs

Masao Fukushima
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Masao Fukushima: Kyoto University, Kyoto, Japan

Operations Research, 1983, vol. 31, issue 1, 101-113

Abstract: A new outer approximation algorithm is proposed for solving general convex programs. A remarkable advantage of the algorithm over existing outer approximation methods is that the approximation of the constraint set is not cumulative. That is, the algorithm solves at each iteration a quadratic program whose constraints depend only on the current estimate of an optimal solution. Convergence of the algorithm is proved and possible applications are discussed.

Keywords: 642; 644 outer approximation algorithm (search for similar items in EconPapers)
Date: 1983
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:31:y:1983:i:1:p:101-113

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