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<p>We propose <b>NewVEM</b>, a Newton vertex exchange method for efficiently solving self-concordant minimization problems under generalized simplex constraints. The algorithm features a two-level structure: the outer loop employs a projected Newton method, and the inner loop uses a vertex exchange approach to solve strongly convex quadratic subproblems. Both loops converge locally at linear rates under technical conditions, resulting in a “fast <InlineEquation ID="IEq1"> <InlineMediaObject> <ImageObject Color="BlackWhite" FileRef="10915_2025_3096_Article_IEq1.gif" Format="GIF" Height="13" Rendition="HTML" Resolution="72" Type="Linedraw" Width="19" /> </InlineMediaObject> <EquationSource Format="TEX">\(\times \)</EquationSource> <EquationSource Format="MATHML"><math> <mo>×</mo> </math></EquationSource> </InlineEquation> fast” framework that demonstrates high efficiency and scalability in practice. To get a feasible initial point to execute the algorithm, we also present and analyze a highly efficient semismooth Newton method for computing the projection onto the generalized simplex. The excellent practical performance of the proposed algorithms is demonstrated by a set of numerical experiments. Our results further motivate the potential real-world applications of the considered model and the proposed algorithms.</p>

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NewVEM: A Newton Vertex Exchange Method for a Class of Constrained Self-Concordant Minimization Problems

  • 期刊论文

  • 发表日期：

    2025年10月22日

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  • Ling Liang,
  • Kim-Chuan Toh,
  • Haizhao Yang

摘要

We propose NewVEM, a Newton vertex exchange method for efficiently solving self-concordant minimization problems under generalized simplex constraints. The algorithm features a two-level structure: the outer loop employs a projected Newton method, and the inner loop uses a vertex exchange approach to solve strongly convex quadratic subproblems. Both loops converge locally at linear rates under technical conditions, resulting in a “fast \(\times \) × fast” framework that demonstrates high efficiency and scalability in practice. To get a feasible initial point to execute the algorithm, we also present and analyze a highly efficient semismooth Newton method for computing the projection onto the generalized simplex. The excellent practical performance of the proposed algorithms is demonstrated by a set of numerical experiments. Our results further motivate the potential real-world applications of the considered model and the proposed algorithms.