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计算数学  2014 

二次半定规划的增广拉格朗日算法

, PP. 133-142

Keywords: 二次半定规划,分解变换,增广拉格朗日算法,线性搜索

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Abstract:

基于变换X=VVT,本文将半定规划问题转换为非线性规划问题,提出了解决此问题的增广拉格朗日算法,并证明了算法的线性收敛性.在此算法中,每一次迭代计算的子问题利用最速下降搜索方向和满足wolf条件的线性搜索法求最优解.数值实验表明,此算法是行之有效的,且优于内点算法.

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