Overview
This chapter recalls some theoretical results on linearly constrained optimization with convex objective function. In the case of a linear or quadratic objective, we show existence of an optimal solution whenever the value of the problem is finite, as well as existence of a basic solution in the linear case. Lagrangian duality theory is presented. In the linear case, existence of a strictly complementary solutions is obtained whenever the optimal value of the problem is finite. Finally, the simplex algorithm is introduced in the last part of the chapter.
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© 2003 Springer-Verlag Berlin Heidelberg
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Bonnans, J.F., Gilbert, J.C., Lemaréchal, C., Sagastizábal, C.A. (2003). Linearly Constrained Optimization and Simplex Algorithm. In: Numerical Optimization. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-05078-1_17
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DOI: https://doi.org/10.1007/978-3-662-05078-1_17
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-00191-1
Online ISBN: 978-3-662-05078-1
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