A Priori Estimation of Newton Type Homotopy Method for Calculating an Optimal Solution of Convex Optimization Problem

概要

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In this paper a priori estimation method is presented for calculating solution of convex optimization problems (COP) with some equality and/or inequality constraints by so-called Newton type homotopy method. The homotopy method is known as an efficient algorithm which can always calculate solution of nonlinear equations under a certain mild condition. Although, in general, it is difficult to estimate a priori computational complexity of calculating solution by the homotopy method. In the presented papers, a sufficient condition is considered for linear homotopy, under which an upper bound of the complexity can be estimated a priori. For the condition it is seen that Urabe type convergence theorem plays an important role. In this paper, by introducing the results, it is shown that under a certain condition a global minimum of COP can be always calculated, and that computational complexity of the calculation can be a priori estimated. Suitability of the estimation for analysing COP is also discussed.
社団法人電子情報通信学会の論文
1995-10-25