Solving convex programs by random walks

  • Authors:
  • Dimitris Bertsimas;Santosh Vempala

  • Affiliations:
  • M.I.T., Cambridge, Massachusetts;M.I.T., Cambridge, Massachusetts

  • Venue:
  • Journal of the ACM (JACM)
  • Year:
  • 2004

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Abstract

Minimizing a convex function over a convex set in n-dimensional space is a basic, general problem with many interesting special cases. Here, we present a simple new algorithm for convex optimization based on sampling by a random walk. It extends naturally to minimizing quasi-convex functions and to other generalizations.