Convex Optimization · Problem 9.24

Equality constrained minimization — Boyd & Vandenberghe

Mathematics — Optimization · block-diagonal-structure-newton-system

Problem

Exploiting block diagonal structure in the Newton system. Suppose the Hessian

\nabla^2 f(x)

of a convex function

f

is block diagonal. How do we exploit this structure when computing the Newton step? What does it mean about

f