Efficient Convex Optimization for Engineering Design
S. Boyd, L. Vandenberghe, M. Grant
Proceedings IFAC Symposium on Robust Control Design, Rio de Janeiro, Brazil, pages 14–23, September 1994.
Many problems in engineering analysis and design can be cast as convex optimization problems, often nonlinear and nondifferentiable. We give a high-level description of recently developed interior-point methods for convex optimization, explain how problem structure can be exploited in these algorithms, and illustrate the general scheme with numerical experiments. To give a rough idea of the efficiencies obtained, we are able to solve convex optimization problems with over 1000 variables and 10000 constraints in around 10 minutes on a workstation.