PROXIMITY CONTROL IN BUNDLE METHODS FOR CONVEX NONDIFFERENTIABLE MINIMIZATION

被引：298
|
作者：
KIWIEL, KC
机构：
[1] Systems Research Institute, Polish Academy of Sciences, Warsaw, 01-447
来源：
MATHEMATICAL PROGRAMMING | 1990年 / 46卷 / 01期
关键词：
convex programming; descent methods; Nondifferentiable minimization; numerical methods;
D O I：
10.1007/BF01585731
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
Proximal bundle methods for minimizing a convex function f generate a sequence {xk} by taking xk+1 to be the minimizer of {Mathematical expression}, where {Mathematical expression} is a sufficiently accurate polyhedral approximation to f and uk > 0. The usual choice of uk = 1 may yield very slow convergence. A technique is given for choosing {uk} adaptively that eliminates sensitivity to objective scaling. Some encouraging numerical experience is reported. © 1990 North-Holland.
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页码：105 / 122
页数：18
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