The Boosted DC Algorithm for Linearly Constrained DC Programming
The Boosted DC Algorithm for Linearly Constrained DC Programming
The Boosted Difference of Convex functions Algorithm (BDCA) has been recently introduced to accelerate the performance of the classical Difference of Convex functions Algorithm (DCA). This acceleration is achieved thanks to an extrapolation step from the point computed by DCA via a line search procedure. In this work, we propose an extension of BDCA that can be applied to difference of convex functions programs with linear constraints, and prove that every cluster point of the sequence generated by this algorithm is a Karush–Kuhn–Tucker point of the problem if the feasible set has a Slater point. When the objective function is quadratic, we prove that any sequence generated by the algorithm is bounded and R-linearly (geometrically) convergent. Finally, we present some numerical experiments where we compare the performance of DCA and BDCA on some challenging problems: to test the copositivity of a given matrix, to solve one-norm and infinity-norm trust-region subproblems, and to solve piecewise quadratic problems with box constraints. Our numerical results demonstrate that this new extension of BDCA outperforms DCA.
Vuong, Phan Tu
52577e5d-ebe9-4a43-b5e7-68aa06cfdcaf
Vuong, Phan Tu
52577e5d-ebe9-4a43-b5e7-68aa06cfdcaf
F.J. Aragon Artacho and Ruben Campoy
(2022)
The Boosted DC Algorithm for Linearly Constrained DC Programming.
Set-Valued and Variational Analysis.
(doi:10.1007/s11228-022-00656-x).
Abstract
The Boosted Difference of Convex functions Algorithm (BDCA) has been recently introduced to accelerate the performance of the classical Difference of Convex functions Algorithm (DCA). This acceleration is achieved thanks to an extrapolation step from the point computed by DCA via a line search procedure. In this work, we propose an extension of BDCA that can be applied to difference of convex functions programs with linear constraints, and prove that every cluster point of the sequence generated by this algorithm is a Karush–Kuhn–Tucker point of the problem if the feasible set has a Slater point. When the objective function is quadratic, we prove that any sequence generated by the algorithm is bounded and R-linearly (geometrically) convergent. Finally, we present some numerical experiments where we compare the performance of DCA and BDCA on some challenging problems: to test the copositivity of a given matrix, to solve one-norm and infinity-norm trust-region subproblems, and to solve piecewise quadratic problems with box constraints. Our numerical results demonstrate that this new extension of BDCA outperforms DCA.
Text
1908.01138
- Accepted Manuscript
Text
s11228-022-00656-x (1)
- Version of Record
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Accepted/In Press date: 12 August 2022
e-pub ahead of print date: 21 December 2022
Identifiers
Local EPrints ID: 474897
URI: http://eprints.soton.ac.uk/id/eprint/474897
ISSN: 1877-0533
PURE UUID: 75fb5bc2-fbee-415a-ae06-93e8f75986df
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Date deposited: 06 Mar 2023 17:55
Last modified: 17 Mar 2024 03:58
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Contributors
Corporate Author: F.J. Aragon Artacho
Corporate Author: Ruben Campoy
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