- SIGMAOPT SEMINAR/OCANA SEMINAR
- Speaker: Mr Shoham Sabach, Technion, Israel Institute of Technology
- Title: A first-order method for finding minimal norm-like solutions of convex optimization problems
- Location: Room V206, Mathematics Building (Callaghan Campus) The University of Newcastle
- Access Grid Venue: WestGrid
- Time and Date: 10:00 am, Thu, 9th Feb 2012
We consider a general class of convex optimization problems in which one seeks to minimize a strongly convex function over a closed and convex set which is by itself an optimal set of another convex problem. We introduce a gradient-based method, called the minimal norm gradient method, for solving this class of problems, and establish the convergence of the sequence generated by the algorithm as well as a rate of convergence of the sequence of function values. A portfolio optimization example is given in order to illustrate our results.
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