Dual Applications of Proximal Bundle Methods, Including Lagrangian Relaxation of Nonconvex Problems
Useful properties of proximal bundle methods for finding \(\min_Sf\), where \(f\) and \(S\) are convex, are proposed. The following convex constrained minimization problem: \(f_*:= \min\{f(x):x\in S\}\) (where \(S\) is a nonempty closed convex set in \(\mathbb{R}^n\), \(f: \mathbb{R}^n\to \mathbb{R}\) is a convex function), is considered. The nonemptyness of the optimal set: \(S_*:= \text{Argmin}_Sf\) is assumed. Main result: The authors show that the proximal bundle method finds asymptotically not only some \(x^\infty\in S_*\), but also the objective subgradients and constraint multipliers involved in the optimality conditions for \(\min_Sf\), and the multipliers of the objective pieces when \(f\) is a max-type function, and primal and dual solutions on Lagrangian decomposition of convex programs. As the application to Lagrangian relaxation of nonconvex programs, they find solutions to relaxed convexified versions of such programs. Numerical results are presented for unit commitment in power production scheduling.
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