Abstract
Let f : R n → (−∞, ∞] be a convex polyhedral function. We show how to find the normal minimizer of f and the associated Lagrange multipliers by computing x(ϵ) = arg min x f(x) + ϵ x 2 2 approximately for a sequence of ϵ ↓ 0 via any relaxation method applied to the corresponding dual problems. Our schemes generalize those of Managasarian and De Leone for solving very large sparse linear programs.
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