Selective bi-coordinate variations without line-search

Abstract

© 2019 IOP Publishing Ltd. In the present paper, we consider the optimal resource allocation problem with simplex-type constraints. For this problem, we propose a modification of the method of bi-coordinate variations with a special threshold control and tolerances, which does not use linear search of step size, and prove its convergence. Preliminary numerical experiments show the efficiency of the proposed modification in comparison with the method using line-search.