LSMM

Higher Edu - Research dev card
Development from the higher education and research community
  • Creation or important update: 17/05/13
  • Minor correction: 17/07/13

LSMM : Majorize-Minimize LineSearch for logarithmic barrier function optimization

This software was developed (or is under development) within the higher education and research community. Its stability can vary (see fields below) and its working state is not guaranteed.
  • Web site
  • System:
  • Current version: 1.0 - mars 2013
  • License(s): CeCILL-B
  • Status: stable release
  • Support: maintained, no ongoing development
  • Designer(s): Emilie Chouzenoux (LIGM), Saïd Moussaoui (IRCCyN)
  • Contact designer(s): emilie.chouzenoux @ univ-mlv.fr
  • Laboratory, service:

 

General software features

This toolbox allows to determine a suitable stepsize in iterative descent algorithms applied to the minimization of a criterion containing a logarithmic barrier function associated to linear constraints. A Majorization-Minimization (MM) scheme is adopted. It is based on the derivation of a log-quadratic majorant function well suited to approximate the criterion containing barrier terms. The convergence of classical descent algorithms when this linesearch strategy is employed is ensured.

A demo file illustrates the efficiency of the MM linesearch on the Newton minimization of the barrier criterion associated to a random quadratic programming (QP) test problem.

Context in which the software is used

Linearly constrained optimization.

Publications related to the software

  • E. Chouzenoux, S. Moussaoui and J. Idier. "Majorize-Minimize Linesearch for Inversion Methods Involving Barrier Function Optimization." Inverse Problems, Vol. 28, No. 6, 2012.

  • E. Chouzenoux, S. Moussaoui and J. Idier. "Efficiency of Line Search Strategies in Interior Point Methods for Linearly Constrained Optimization." In Proceedings of the IEEE Workshop on Statistical Signal Processing (SSP 2011), pages 101-104, Nice, France, 28-30 juin 2011.

  • E. Chouzenoux, S. Moussaoui and J. Idier. "A Majorize-Minimize Line Search Algorithm for Barrier Function Optimization." In Proceedings of the 17th European Signal Processing Conference (EUSIPCO 2009), pages 1379-1383, Glasgow, UK, 24-28 août 2009. EURASIP Press.