Exact Penalties for Decomposable Optimization Problems
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Publication:6350340
DOI10.1080/10556788.2021.1977807arXiv2010.00630MaRDI QIDQ6350340FDOQ6350340
Authors: Igor V. Konnov 
Publication date: 1 October 2020
Abstract: We consider a general decomposable convex optimization problem. By using right-hand side allocation technique, it can be transformed into a collection of small dimensional optimization problems. The master problem is a convex non-smooth optimization problem. We propose to apply the exact non-smooth penalty method, which gives a solution of the initial problem under some fixed penalty parameter and provides the consistency of lower level problems. The master problem is suggested to be solved by a two-speed subgradient projection method, which enhances the step-size selection. Preliminary results of computational experiments confirm its efficiency.
Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30)
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