Rate of Convergence of the Bundle Method

Rate of Convergence of the Bundle Method

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Article ID: iaor20171916
Volume: 173
Issue: 3
Start Page Number: 908
End Page Number: 922
Publication Date: Jun 2017
Journal: Journal of Optimization Theory and Applications
Authors:
Keywords: heuristics, programming: convex
Abstract:

The number of iterations needed by the bundle method for nonsmooth optimization to achieve a specified solution accuracy can be bounded by the product of the inverse of the accuracy and its logarithm, if the function is strongly convex. The result is true for the versions of the method with multiple cuts and with cut aggregation.

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