An Efficient Primal-Dual Interior-Point Method for Minimizing a Sum of Euclidean Norms

Abstract

The problem of minimizing a sum of Euclidean norms dates from the 17th century and may be the earliest example of duality in the mathematical programming literature. This nonsmooth optimization problem arises in many different kinds of modern scientific applications. We derive a primal-dual interior-point algorithm for the problem, by applying Newton’s… (More)
DOI: 10.1137/S1064827598343954

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