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Convex Optimization by Lieven Vandenberghe, Stephen Boyd

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Chapter 11

Interior-point methods

11.1  Inequality constrained minimization problems

In this chapter we discuss interior-point methods for solving convex optimization problems that include inequality constraints,

(11.1)

where f0, . . . , fm : Rn R are convex and twice continuously differentiable, and A Rp×n with rank A = p n. We assume that the problem is solvable, i.e., an optimal x exists. We denote the optimal value f0(x) as p.

We also ...

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