Journal of applied mathematics & informatics
- Volume 23 Issue 1_2
- /
- Pages.361-367
- /
- 2007
- /
- 2734-1194(pISSN)
- /
- 2234-8417(eISSN)
A QUASI-NEWTON BUNDLE METHOD BASED ON APPROXIMATE SUBGRADIENTS
- Jie, Shen (CORA, Department of Applied Mathematics, Dalian University of Technology) ;
- Pang, Li-Ping (CORA, Department of Applied Mathematics, Dalian University of Technology)
- Published : 2007.01.31
Abstract
In this paper we propose an implementable method for solving a nonsmooth convex optimization problem by combining Moreau-Yosida regularization, bundle and quasi-Newton ideas. The method we propose makes use of approximate subgradients of the objective function, which makes the method easier to implement. We also prove the convergence of the proposed method under some additional assumptions.
Keywords
- Nonsmooth convex optimization;
- Moreau-Yosida regularization;
- approximate subgradient;
- bundle method;
- quasi-Newton method