Polyak’s subgradient method with simplified projection for nondifferentiable optimization with linear constraints

Polyak’s subgradient method with simplified projection for nondifferentiable optimization with linear constraints

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Article ID: iaor19891076
Country: Germany
Volume: 20
Start Page Number: 451
End Page Number: 456
Publication Date: Dec 1989
Journal: Optimization
Authors: ,
Abstract:

The projection operation required in the Polyak’s subgradient method for nondifferentiable optimization problems with linear constraints is simplified. The modified method finds a new search direction in the cone of feasible directions at the current point. This greatly reduces the dimension of the projection operation. A computational test shows significant improvement in the computational efficiency.

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