Two-direction subgradient method for non-differentiable optimization problems

DOI10.1016/0167-6377(87)90008-3MaRDI QIDQ581239zbMATH OpenOpenAlexFDO

Authors Sehun Kim, Seokha Koh, Hyunsil Ahn

Publication date 1987

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(87)90008-3

zbMATH Keywords

`known' optimal objective valuecutting planesnondifferentiableprojectionsubgradient method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25)

Review text

The authors consider the problem of minimizing a convex, not necessarily differentiable real function in \(R^ n\) with a `known' optimal objective value. Based on the analysis of the projection onto the intersection of two half spaces, the authors propose an algorithm using two subgradients at a time. Numerical examples show that this new algorithm converges faster than the classical subgradient method.

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Cites work

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(16)

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• Exact algorithm for the surrogate dual of an integer programming problem: Subgradient method approach
• A subgradient method based on gradient sampling for solving convex optimization problems
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• Polyak's subgradient method with simplified projection for nondifferentiable optimization with linear constraints
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• Optimal prioritized channel allocation in cellular mobile systems
• A modified subgradient algorithm for Lagrangean relaxation
• Convergence of a generalized subgradient method for nondifferentiable convex optimization

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