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We apply an operator splitting technique to a generic linear-convex optimal control problem, which results in an algorithm that alternates between solving a quadratic control problem, for which there ...
A Primal-Dual Operator Splitting Method for Conic Optimization
Primal-Dual Operator Splitting Method Conic Optimization
2015/7/9
We develop a simple operator splitting method for solving a primal conic optimization problem; we show that the iterates also solve the dual problem. The resulting algorithm is very simple to describe...
How to Generate Uniform Samples on Discrete Sets Using the Splitting Method
Generate Uniform Samples Discrete Sets Splitting Method
2015/7/6
In spite of the common consensus on the classic Markov chain Monte Carlo (MCMC)as a universal tool for generating samples on complex sets, it fails to generate points uniformly distributed on discrete...