Title:

A Method of Centers with Approximate Subgradient Linearizations for Nonsmooth Convex Optimization

Subtitle:

Raport Badawczy = Research Report ; RB/58/2006

Creator:

Kiwiel, Krzysztof

Publisher:

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

Place of publishing:

Warszawa

Date issued/created:

2006

Description:

24 pages ; 21 cm ; Bibliography p. 24

Subject and Keywords:

Nondifferentiable optimization ; Optymalizacja niezróżnicowana ; Convex programming ; Programowanie wypukłe ; Proximal bundle methods ; Approximate subgradients ; Column generation

Abstract:

The paper presents a proximal bundle method for constrained convex optimization. It only requires evaluating the problem functions and their subgradients with an unknown accuracy epsilon. Employing a combination of the classic method of centers improvement function with an exact penalty function, it does not need a feasible starting point. It asymptotically finds points with at least ε-optimal objective values that are ε- feasible. When applied to the solution of LP programs via column generation, it allows for ε-accurate solutions of column generation subproblems.

Relation:

Raport Badawczy = Research Report

Resource type:

Text

Detailed Resource Type:

Report

Source:

RB-2006-58

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