An improved subgradient method for constrained nondifferentiable optimization

An improved subgradient method for constrained nondifferentiable optimization

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Article ID: iaor1995306
Country: Netherlands
Volume: 14
Issue: 1
Start Page Number: 61
End Page Number: 64
Publication Date: Aug 1993
Journal: Operations Research Letters
Authors: ,
Abstract:

Polyak’s subgradient method for constrained nondifferentiable optimization problems is modified in one respect to improve the computational efficiency. The two consecutive projection operations in Polyak method are combined into a single projection operation. The resulting algorithm has a convergence property which is strictly stronger than that of the original Polyak method. A computational test shows significant improvement both in the number of iterations and in the CPU time.

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