Diagonal Bundle Method for Nonsmooth Sparse Optimization

Napsu Karmitsa ()
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Napsu Karmitsa: University of Turku

Journal of Optimization Theory and Applications, 2015, vol. 166, issue 3, No 10, 889-905

Abstract: Abstract We propose an efficient diagonal bundle method for sparse nonsmooth, possibly nonconvex optimization. The convergence of the proposed method is proved for locally Lipschitz continuous functions, which are not necessary differentiable or convex. The numerical experiments have been made using problems with up to million variables. The results to be presented confirm the usability of the diagonal bundle method especially for extremely large-scale problems.

Keywords: Nondifferentiable optimization; Sparse problems; Bundle methods; Diagonal variable metric methods; 65K05; 90C25 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-014-0666-8

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