Subgradient ellipsoid method for nonsmooth convex problems
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Publication:6038646
Abstract: In this paper, we present a new ellipsoid-type algorithm for solving nonsmooth problems with convex structure. Examples of such problems include nonsmooth convex minimization problems, convex-concave saddle-point problems and variational inequalities with monotone operator. Our algorithm can be seen as a combination of the standard Subgradient and Ellipsoid methods. However, in contrast to the latter one, the proposed method has a reasonable convergence rate even when the dimensionality of the problem is sufficiently large. For generating accuracy certificates in our algorithm, we propose an efficient technique, which ameliorates the previously known recipes.
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Cited in
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- scientific article; zbMATH DE number 3858859 (Why is no real title available?)
- Accuracy certificates for convex minimization with inexact oracle
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