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Hallo, I am a PhD-Student at the University Trier (Germany). In the context of my dissertation I am working with variation inequalities. For my purpose I am implemented an algorithm for minimization of convex non-differentiable function (min{f(x): x in R^n}) and I would like to supply this program to GSL. I implemented the Kiviel's bundle algorithm (Ref.: "Proximity control in bundle methods for convex nondifferentiable minimization. Math. Programming 46 (1990)"). I tested other algorithm too (e.g."A version of the bundle idea for minimizing a nonsmooth function: conceptual idea, convergence analysis, numerical results. SIAM J. Optim. 2 (1992) "), but the algorithm of Kiviel seems to be very robust and, from computational point of view, the best for the praxis. In each step of the bundle method one have to solve a convex quadratic problem. For this problem I use the primal-dual interior point method of Mehrotra. I implemented this algorithm in a separate program und one can use it to solve the arbitrary problem of type min{xQx : Ax=b, Cx>=d} or min{xQx: Ax=b, x>=0} (Q positive semidefinit). (Ref.: "Wright, Stephen J. Primal dual interior point methods") I send two tar-files with both programs. In these files you can find source files und Makefiles. I hope you are interested for this. If it is possible to include the programs in GSL, I will write documentation and test the programs much more. Wit best regards Ewgenij Huebner
Attachment:
bundle_method.tar.gz
Description: application/tgz
Attachment:
cqp.tar.gz
Description: application/tgz
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