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Bundle methods for convex minimization with partially inexact oracles
Subtitle:Raport Badawczy = Research Report ; RB/36/2009
Creator: Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:28 pages ; 21 cm ; Bibliography p. 25-28
Subject and Keywords:Optymalizacja ; Nondifferentiable optimization ; Convex programming ; Programowanie wypukłe ; Proximal bundle methods ; Approximate subgradients ; Aproksymacja subgradientowa ; Finite min-max
Abstract:Recently the proximal bundle method for minimizing a convex function has been extended to an inexact oracle that delivers function and subgradient values of unknown accuracy. This method has been adapted to a partially inexact oracle that becomes exact only when an objective target level for a descent step is met. In Lagrangian relaxation, such oracles may save work by evaluating the dual function approximately on most iterations, without compromising the strong convergence properties of exact bundle methods. It was also shown that the recent method of Gaudioso et al. for finite min-max problems fits the partially inexact framework. In the work, its convergence results have been improved and useful modifications have been made. Numerical illustrations on standard instances of the generalized assignment problem (GAP) are included.
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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