Using two successive subgradients in the ellipsoid method for nonlinear programming

Abstract

A variant of the ellipsoid method for nonlinear programming is introduced to enhance the speed of convergence. This variant is based on a new simple scheme to reduce the ellipsoid volume by using two center cuts generated in two consecutive iterations of the ellipsoid method. Computational tests show a significant improvement in computational efficiency. The tests show that the improvement is more significant for larger-size problems.