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
Eliminate Inaccurate/Solved problem in CCP
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.