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A Method of Centers with Approximate Subgradient Linearizations for Nonsmooth Convex Optimization
Subtitle:Raport Badawczy = Research Report ; RB/71/2007
Creator: Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:23 pages ; 21 cm ; Bibliography p. 22-23
Subject and Keywords:Nondifferentiable optimization ; Optymalizacja niezróżnicowana ; Convex programming ; Programowanie wypukłe ; Proximal bundle methods ; Approximate subgradients ; Column generation ; Aproksymacja subgradientowa ; Generowanie kolumn
Abstract:The paper presents a proximal bundle method for constrained convex optimization. It requires only evaluating the problem functions and their subgradients with an unkown accuracy ε. 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 linear programming problems via column generation, it allows for ε-accurate solutions of column generation subproblems.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: 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
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