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: | Kim Sehun, Um Bong-sik |
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.