Uncontrolled inexact information within bundle methods

Jérôme Malick (), Welington Oliveira () and Sofia Zaourar ()
Additional contact information
Jérôme Malick: CNRS, LJK
Welington Oliveira: UERJ
Sofia Zaourar: INRIA, UJF

EURO Journal on Computational Optimization, 2017, vol. 5, issue 1, No 2, 5-29

Abstract: Abstract We consider convex non-smooth optimization problems where additional information with uncontrolled accuracy is readily available. It is often the case when the objective function is itself the output of an optimization solver, as for large-scale energy optimization problems tackled by decomposition. In this paper, we study how to incorporate the uncontrolled linearizations into (proximal and level) bundle algorithms in view of generating better iterates and possibly accelerating the methods. We provide the convergence analysis of the algorithms using uncontrolled linearizations, and we present numerical illustrations showing they indeed speed up resolution of two stochastic optimization problems coming from energy optimization (two-stage linear problems and chance-constrained problems in reservoir management).

Keywords: Non-smooth optimization; Bundle methods; Inexact oracle; Energy optimization; Two-stage stochastic problems; Chance-constrained problems; 65K05; 49J52; 49M27; 90C15; 90C25; 90C27 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s13675-015-0060-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurjco:v:5:y:2017:i:1:d:10.1007_s13675-015-0060-9

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/13675

DOI: 10.1007/s13675-015-0060-9

Access Statistics for this article

EURO Journal on Computational Optimization is currently edited by Martine C. Labbé

More articles in EURO Journal on Computational Optimization from Springer, EURO - The Association of European Operational Research Societies
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().