Chun-Neng Chu

Multiplicative Gradient Method for Log-Homogeneous Optimization: A Unified Mirror-Descent Framework

Consider the problems of computing $\ell_p$-Lewis weights, Kelly portfolios, D-optimal designs, general equilibria in Fisher markets, and optimal error exponents for channel coding in information theory. All of them can be formulated as optimization problems over the probability simplex, but except for the last one, th...