PDSCO: Primal-Dual interior method for Separable Convex Objectives

• AUTHORS: M. A. Saunders, B. Kim.
• CONTENTS: A primal-dual interior method for solving linearly constrained optimization problems with a separable convex objective function:
  
  minimize f(x) + 1/2 ||gamma x||^2 + 1/2 ||r/delta||^2
  
  subject to Ax + r = b and x >= 0,
  where the m x n matrix A (m <= n) may be sparse or represented by an M-file for computing Ax and A'x.

  REFERENCES:
  S. S. Chen, D. L. Donoho and M. A. Saunders. Atomic decomposition by basis pursuit, SIAM Review 43(1), 129--159 (2001).

  RELEASE: The MATLAB files are well tested but change occasionally.

• MATLAB files