Solving convex programs by random walks.

Minimizing a convex function over a convex set in n-dimensional space is a basic, general problem with many interesting special cases. Here, we present a simple new algorithm for convex optimization based on sampling by a random walk. It extends naturally to minimizing quasi-convex functions and to...

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Bibliographic Details

Published in:	Journal of the ACM 51, 4 (2004).
Main Author:	Bertsimas, D.
Format:	Article
Language:	English
Subjects:	Theory of computation. Analysis of algorithms and problem complexity. Mathematics of computing. Probability and statistics. Stochastic processes. Algorithms. Theory.