Smooth minimization of non-smooth functions

Yu. Nesterov

No 2003012, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper we propose a new approach for constructing efficient schemes for nonsmooth convex optimization. It is based on a special smoothing technique, which can be applied to the functions with explicit max-structure. Our approach can be considered as an alternative to black-box minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from 0 (1/e2) to 0 (1/e), keeping basically the complexity of each iteration unchanged.

Keywords: non-smooth optimization; convex optimization; optimal methods; complexity theory; structural optimization (search for similar items in EconPapers)
Date: 2003-02
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Citations: View citations in EconPapers (4)

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