A Linearly Convergent Dual-Based Gradient Projection Algorithm for Quadratically Constrained Convex Minimization
Published Online:1 May 2006https://doi.org/10.1287/moor.1060.0193
Abstract
This paper presents a new dual formulation for quadratically constrained convex programs. The special structure of the derived dual problem allows us to apply the gradient projection algorithm to produce a simple explicit method involving only elementary vector-matrix operations, proven to converge at a linear rate.
