An approximate quasi-Newton bundle-type method for nonsmooth optimization (Q370139): Difference between revisions
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Summary: An implementable algorithm for solving a nonsmooth convex optimization problem is proposed by combining Moreau-Yosida regularization and bundle and quasi-Newton ideas. In contrast with quasi-Newton bundle methods of \textit{R. Mifflin} et al. [SIAM J. Optim. 8, No. 2, 583--603 (1998; Zbl 0927.65074)], we only assume that the values of the objective function and its subgradients are evaluated approximately, which makes the method easier to implement. Under some reasonable assumptions, the proposed method is shown to have a \(Q\)-superlinear rate of convergence. | |||
| Property / review text: Summary: An implementable algorithm for solving a nonsmooth convex optimization problem is proposed by combining Moreau-Yosida regularization and bundle and quasi-Newton ideas. In contrast with quasi-Newton bundle methods of \textit{R. Mifflin} et al. [SIAM J. Optim. 8, No. 2, 583--603 (1998; Zbl 0927.65074)], we only assume that the values of the objective function and its subgradients are evaluated approximately, which makes the method easier to implement. Under some reasonable assumptions, the proposed method is shown to have a \(Q\)-superlinear rate of convergence. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 90C25 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6209406 / rank | |||
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| Property / zbMATH Keywords | |||
nonsmooth convex optimization problem | |||
| Property / zbMATH Keywords: nonsmooth convex optimization problem / rank | |||
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Moreau-Yosida regularization | |||
| Property / zbMATH Keywords: Moreau-Yosida regularization / rank | |||
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| Property / zbMATH Keywords | |||
quasi-Newton bundle method | |||
| Property / zbMATH Keywords: quasi-Newton bundle method / rank | |||
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Revision as of 13:36, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximate quasi-Newton bundle-type method for nonsmooth optimization |
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An approximate quasi-Newton bundle-type method for nonsmooth optimization (English)
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19 September 2013
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Summary: An implementable algorithm for solving a nonsmooth convex optimization problem is proposed by combining Moreau-Yosida regularization and bundle and quasi-Newton ideas. In contrast with quasi-Newton bundle methods of \textit{R. Mifflin} et al. [SIAM J. Optim. 8, No. 2, 583--603 (1998; Zbl 0927.65074)], we only assume that the values of the objective function and its subgradients are evaluated approximately, which makes the method easier to implement. Under some reasonable assumptions, the proposed method is shown to have a \(Q\)-superlinear rate of convergence.
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nonsmooth convex optimization problem
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Moreau-Yosida regularization
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quasi-Newton bundle method
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