Newton’s Method for Optimization in Jordan Algebras
نویسندگان
چکیده
We consider a convex optimization problem on linearly constrained cones in a Euclidean Jordan algebra. The cost function consists of a quadratic cost term plus a penalty function. A damped Newton algorithm is proposed for minimization. Quadratic convergence to the global minimum is shown using an explicit step-size selection.
منابع مشابه
Newton’s Algorithm in Euclidean Jordan Algebras, with Applications to Robotics∗
We consider a convex optimization problem on linearly constrained cones in Euclidean Jordan algebras. The problem is solved using a damped Newton algorithm. Quadratic convergence to the global minimum is shown using an explicit step-size selection. Moreover, we prove that the algorithm is a smooth discretization of a Newton flow with Lipschitz continuous derivative.
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