Polyhedral function constrained optimization problems
Recently polyhedral functions have proved distinctly useful in expressing selection criteria in various model building techniques. Here they play the role of a constraint on a estimation problem. Whereas they can always be replaced by an appropriate family of linear constraints, the resulting set can be a very large. Compact representations are available and their use is illustrated by developing both active set and homotopy algorithms for the general polyhedral constrained problem. These are...[Show more]
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