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Aproximal-Projection Bundle Method for Lagrangian Relaxation, Including Semidefinite Programming
Subtitle:Raport Badawczy = Research Report ; RB/49/2005
Creator: Publisher:Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
Place of publishing: Date issued/created: Description:20 stron ; 21 cm ; Bibliografia s. 19-20
Subject and Keywords:Optymalizacja ; Nondifferentiable optimization ; Lagrangian relaxation ; Convex programming ; Programowanie wypukłe ; Proximal bundle methods ; Semidefinite programming ; Półokreślone programowanie ; Relaksacja lagrange'a
Abstract:The paper presents a proximal bundle method for minimizing a convex function f over a convex set C. It requires evaluating f and its subgradients with a fixed but possibly unknown accuracy ε> 0. Each iteration involves solving an unconstrained proximal subproblem, and projecting a certain point onto C. The method asymptotically finds points that are ε-optimal. In Lagrangian relaxation of convex programs, it allows for ε-accurate solutions of Lagrangian subproblems, and finds ε-optimal primal solutions. For semidefinite programming problems, it extends the highly successful spectral bundle method to the case of inexact eigenvalue computations.
Relation:Raport Badawczy = Research Report
Resource type: Detailed Resource Type: Source: Language: Language of abstract: Rights:Licencja Creative Commons Uznanie autorstwa 4.0
Terms of use:Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -
Digitizing institution:Instytut Badań Systemowych Polskiej Akademii Nauk
Original in:Biblioteka Instytutu Badań Systemowych PAN
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