A bundle-filter method for nonsmooth convex constrained optimization
نویسندگان
چکیده
منابع مشابه
A bundle-filter method for nonsmooth convex constrained optimization
For solving nonsmooth convex constrained optimization problems, we propose an algorithm which combines the ideas of the proximal bundle methods with the filter strategy for evaluating candidate points. The resulting algorithm inherits some attractive features from both approaches. On the one hand, it allows effective control of the size of quadratic programming subproblems via the compression a...
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Global convergence in constrained optimization algorithms has traditionally been enforced by the use of parametrized penalty functions. Recently, the filter strategy has been introduced as an alternative. At least part of the motivation for filter methods consists in avoiding the need for estimating a suitable penalty parameter, which is often a delicate task. In this paper, we demonstrate that...
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1. Abstract Practical optimization problems often involve nonsmooth functions of hundreds or thousands of variables. As a rule, the variables in such large problems are restricted to certain meaningful intervals. In the report [Haarala, Mäkelä, 2006] we have described an efficient adaptive limited memory bundle method for large-scale nonsmooth, possibly nonconvex, bound constrained optimization...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2007
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-007-0123-7