Ermoliev, Y.M.; Kryazhimskii, A.V.; Ruszczynski, A. - International Institute for Applied Systems Analysis (IIASA) - 1995
A general constraint aggregation technique is proposed for convex optimization problems. At each iteration a set of convex inequalities and linear equations is replaced by a single inequality formed as a linear combination of the original constraints. After solving the simplified subproblem, new...