Abstract
This paper gives a proof of convergence of an iterative method for maximizing a concave function subject to inequality constraints involving convex functions. The linear programming problem is an important special case. The primary feature is that each iteration is very simple computationally, involving only one of the constraints. Although the paper is theoretical in nature, some numerical results are included.
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Communicated by F. Zirilli
The author wishes to express his gratitude to Ms. A. Dunham, who provided a great deal of assistance in carrying out the computations presented in this paper.
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Andrus, J.F. An exterior point method for the convex programming problem. J Optim Theory Appl 72, 37–63 (1992). https://doi.org/10.1007/BF00939949
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DOI: https://doi.org/10.1007/BF00939949