Sandwich approximation of univariate convex functions with an application to separable convex programming

Rainer E. Burkard, Horst W. Hamacher and Günter Rote

Naval Research Logistics (NRL), 1991, vol. 38, issue 6, 911-924

Abstract: In this article an algorithm for computing upper and lower ϵ approximations of a (implicitly or explicitly) given convex function h defined on an interval of length T is developed. The approximations can be obtained under weak assumptions on h (in particular, no differentiability), and the error decreases quadratically with the number of iterations. To reach an absolute accuracy of ϵ the number of iterations is bounded by , where D is the total increase in slope of h. As an application we discuss separable convex programs.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navres:v:38:y:1991:i:6:p:911-924

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