Decomposition method of descent for minimizing the sum of convex nonsmooth functions (Q1071652)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Decomposition method of descent for minimizing the sum of convex nonsmooth functions |
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Decomposition method of descent for minimizing the sum of convex nonsmooth functions (English)
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1987
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This paper presents a descent method for minimizing a sum of possibly nonsmooth convex functions. Search directions are found by solving subproblems obtained by replacing all but one of the component functions with their polyhedral approximations and adding a quadratic term. The algorithm is globally convergent and terminates when the objective function happens to be polyhedral. It yields a new decomposition method for solving large-scale linear programs with dual block-angular structure.
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descent method
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sum of possibly nonsmooth convex functions
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decomposition
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large-scale linear programs
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dual block-angular structure
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nondifferentiable optimization
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