Trust-region interior-point method for large sparse l_1 optimization.

Ladislav Luksan (luksancs.cas.cz)
Ctirad Matonoha (matonohacs.cas.cz)
Jan Vlcek (Vlcekcs.cas.cz)

Abstract: In this paper, we propose an interior-point method for large sparse l_1 optimization. After a short introduction, the complete algorithm is introduced and some implementation details are given. We prove that this algorithm is globally convergent under standard mild assumptions. Thus nonconvex problems can be solved successfully. The results of computational experiments given in this paper confirm efficiency and robustness of the proposed method.

Keywords: Unconstrained optimization, large-scale

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation: Technical Report No. V942, Institute of Computer Science, AV CR,Prague, November 2005.

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Entry Submitted: 11/04/2005
Entry Accepted: 11/04/2005
Entry Last Modified: 11/04/2005

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