new program for GSL

[Ewgenij Hübner <huebner at uni-trier dot de>]

Hallo,

I am a PhD-Student at the University Trier (Germany). In the context of my 
dissertation I am working with variation inequalities. For my purpose I am 
implemented an algorithm for minimization of convex non-differentiable 
function (min{f(x): x in R^n}) and I would like to supply this program to 
GSL.

I implemented the Kiviel's bundle algorithm (Ref.: "Proximity control in 
bundle methods for convex nondifferentiable minimization.  Math. Programming  
46  (1990)"). I tested other algorithm too (e.g."A version of the bundle idea 
for minimizing a nonsmooth function: conceptual idea, convergence analysis, 
numerical results.  SIAM J. Optim.  2  (1992) "), but the algorithm of Kiviel 
seems to be very robust and, from computational point of view, the best for 
the praxis.

In each step of the bundle method one have to solve a convex quadratic 
problem. For this problem I use the primal-dual interior point method of 
Mehrotra. I implemented this algorithm in a separate program und one can use 
it to solve the arbitrary problem of type min{xQx : Ax=b, Cx>=d} 
or min{xQx: Ax=b, x>=0} (Q positive semidefinit).
(Ref.: "Wright, Stephen J.  	Primal dual interior point methods")

I send two tar-files with both programs. In these files you can find source 
files und Makefiles. I hope you are interested for this. If it is possible to 
include the programs in GSL, I will write documentation and test the programs 
much more.

Wit best regards

Ewgenij Huebner

Attachment: bundle_method.tar.gz
Description: application/tgz

Attachment: cqp.tar.gz
Description: application/tgz