Title:

A proximal bundle method with approximate subgradient linearizations

Subtitle:

Raport Badawczy = Research Report ; RB/67/2003

Creator:

Kiwiel, Krzysztof

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2003

Description:

18 pages ; 21 cm ; Bibliography p. 17-18

Subject and Keywords:

Metody subgradientowe ; Nondifferentiable optimization ; Optymalizacja niezróżnicowana ; Lagrangian relaxation ; Convex programming ; Programowanie wypukłe ; Proximal bundle methods ; Approximate subgradients ; Relaksacja lagrange'a

Abstract:

The paper presents a proximal bundle method for minimizing a convex function f over a closed convex set. It only requires evaluating f and its subgradients with an accuracy ε>0, which is fixed but possibly unknown. It asymptotically finds points that are ε-optimal. When applied to Lagrangian relaxation, it allows for ε-accurate solutions of Lagrangian subproblems, and finds ε-optimal solutions of convex programs.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2003-67

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open