A Randomized Algorithm to Optimize Over Certain Convex Sets
Published Online:1 Aug 1995https://doi.org/10.1287/moor.20.3.529
Abstract
This paper presents a randomized polynomial time algorithm to nearly minimize a linear function over an up-monotone convex set in the positive orthant given only by a membership oracle. Our original motivation for this is a stochastic optimization problem called the component commonality problem in the literature.
