A smooth vector field for saddle point problems
Hans-Bernd Dürr, Christian Ebenbauer · 2011
In this paper we propose a novel smooth vector field whose trajectories globally converge to the saddle point of the Lagrangian associated with a convex and constrained optimization problem. Under suitable assumptions, we prove global convergence of the trajectories for the class of strictly convex problems and we propose a vector field for linear programs.