Eliminate Inaccurate/Solved problem in CCP

Uncategorized
Oct 11, 2019
S

Hi,
I am using the convex-concave procedure to solve a problem. For the first few iterations, the code works fine. However as we proceed, some iterations yield Inaccurate/Solved status. Furthermore, the value of an optimization variable does not converge. Does anyone have a solution to this problem?
Regards
Tamoor

M

The convex-concave procedure is not guaranteed to converge to anything, let alone a global or even local optimum of the original problem…Among other things, it has no safeguarding of steps, such as by trust region or line search; and therefore is not robust.

Choice of starting point does matter,. Scaling may matter.

S
Replying to #2

Thanks for the reply.
Do you have any idea of how to overcome the issues in CCP?

M

Use a good off-the-shelf nonlinear optimizer, rather than trying to gin up your own.

The CCP results you may have seem may be for a biased set of problems for which some crude procedure happens to work o.k.