Abstract
This paper develops a new variant of the classical alternating projection method for solving convex feasibility problems where the constraints are given by the intersection of two convex cones in a Hilbert space. An extension to the feasibility problem for the intersection of two convex sets is presented as well. It is shown that one can solve such problems in a finite number of steps and an explicit upper bound for the required number of steps is obtained. As an application, we propose a new finite steps algorithm for linear programming with linear matrix inequality constraints. This solution is computed by solving a sequence of a matrix eigenvalue decompositions. Moreover, the proposed procedure takes advantage of the structure of the problem. In particular, it is well adapted for problems with several small size constraints.
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Rami, M.A., Helmke, U. & Moore, J.B. A finite steps algorithm for solving convex feasibility problems. J Glob Optim 38, 143–160 (2007). https://doi.org/10.1007/s10898-006-9088-y
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DOI: https://doi.org/10.1007/s10898-006-9088-y