Machine Learning
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  1. MATH-Convex optimization

障碍函数法

对近似函数不断的调节t参数,调节原始目标函数和障碍函数在新的目标函数中的权重。t先是比较小,希望能够优先满足不等式约束,然后逐步增大t使得能够在满足不等式约束条件的同时,慢慢使得$f(x)$值也变小。 重要的是每次的最优解x∗(tk−1)x^*(t^{k-1})x∗(tk−1)作为下一次迭代的初始点,可以加快子问题的求解。

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Last updated 5 years ago

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