I'm looking for a simple method to find a linear transform that minimizes    $$ \text{argmin}_T F(T): T \in \mathbb{R}^{m \times n},\ T \ge 0,\ T \mathbb{1} = c \mathbb{1},\ \mathbb{1}^T T = \mathbb{1} $$i.e. over $m \times n$ matrices $\ge 0$ with row sums all the same and column sums all 1.(If there's a standard name for this simplex or this problem, please edit.)$F(T)$ is min${_x}\ f( T x )$ with $f()$ convex but slow; the gradient at the current minimum should be available.$m$ ~ 20 and $n$ ~ 100, so the method should be $O( m + n )$, not $O( m\,n )$ .Perhaps line searches that move / clip $T$ along rows / columns ?(The problem comes from trying to optimize a filter bank a.k.a. overlapping basis;another application area with many heuristics is feature reductionin machine learning.)
Optimal linear transform in a simplex
convex optimization