An approach to solving convex programs with nonsmooth objectives

Monotone operators and generalizations (47H05) Linear programming (90C05) Convex programming (90C25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Let \(f:\mathbb{R}^n\to \mathbb{R}\) be a closed convex function and \(C=\{x\in \mathbb{R}^n\mid f_j(x)\leq 0\), \(j\in \{1,2,\dots,m \}\}\) be the constraint set, where \(f_j\) are continuous differentiable convex functions. NEWLINENEWLINENEWLINEConsider the nonsmooth convex programming problem: \(\min\{f(x)\mid 0\geq x\in C \}\). NEWLINENEWLINENEWLINEUnder the strictly feasible condition, an efficient method to finding an optimal solution for the above is proved.

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