A short note on solving box inequality and linear equality constrained optimization problem

Yue Sun

Abstract:

This writeup discusses a special kind of convex constrained optimization problem, whose constraints consist of box inequalities and
linear equalities. For this problem, in addition to general optimization algorithms such as exact penalty algorithm and interior point algorithm
(Boyd et al. (2004); Bertsekas (1999)), there is a simple iterative algorithm that is simple to implement, which is favored by machine learning
practitioners.