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Interior-Point Algorithms For A Class Of Convex Optimization Problems, Goran Lesaja, Verlynda Slaughter
Interior-Point Algorithms For A Class Of Convex Optimization Problems, Goran Lesaja, Verlynda Slaughter
Department of Mathematical Sciences Faculty Publications
In this paper we consider interior-point methods (IPM) for the nonlinear, convex optimization problem where the objective function is a weighted sum of reciprocals of variables subject to linear constraints (SOR). This problem appears often in various applications such as statistical stratified sampling and entropy problems, to mention just few examples. The SOR is solved using two IPMs. First, a homogeneous IPM is used to solve the Karush-Kuhn-Tucker conditions of the problem which is a standard approach. Second, a homogeneous conic quadratic IPM is used to solve the SOR as a reformulated conic quadratic problem. As far as we are …