A rigorous lower bound for the optimal value of convex optimization problems

Link:
Autor/in:
Verlag/Körperschaft:
Hamburg University of Technology
Erscheinungsjahr:
2004
Medientyp:
Text
Schlagworte:
  • Convex programming
  • Convex relaxations
  • Global optimization
  • Interval arithmetic
  • Large-scale problems
  • Quadratic programming
  • Rigorous error bounds
  • Sensitivity analysis
  • 510: Mathematik
Beschreibung:
  • In this paper, we consider the computation of a rigorous lower error bound for the optimal value of convex optimization problems. A discussion of large-scale problems, degenerate problems, and quadratic programming problems is included. It is allowed that parameters, which define the convex constraints and the convex objective functions, may be uncertain and may vary between given lower and upper bounds. The error bound is verified for the family of convex optimization problems which correspond to these uncertainties. It can be used to perform a rigorous sensitivity analysis in convex programming, provided the width of the uncertainties is not too large. Branch and bound algorithms can be made reliable by using such rigorous lower bounds.
Beziehungen:
DOI 10.1023/B:JOGO.0000006720.68398.8c
Quellsystem:
TUHH Open Research

Interne Metadaten
Quelldatensatz
oai:tore.tuhh.de:11420/8930