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European Journal of Operational Research
Volume 180, Issue 1, 1 July 2007, Pages 38-47
 
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doi:10.1016/j.ejor.2006.04.005    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2006 Elsevier B.V. All rights reserved.

Continuous Optimization

A bundle modification strategy for convex minimization

Alexey V. Demyanova, E-mail The Corresponding Author, Antonio Fudulib, Corresponding Author Contact Information, E-mail The Corresponding Author and Giovanna Miglionicoc, E-mail The Corresponding Author

aSISSA, Via Beirut 2-4, 34014 Trieste, Italy bDipartimento di Matematica, Università della Calabria, Via Pietro Bucci – Cubo 30B, 87036 Arcavacata di Rende (CS), Italy cDipartimento di Elettronica Informatica e Sistemistica, Università della Calabria, 87036 Rende (CS), Italy

Received 4 March 2005; 
accepted 3 April 2006. 
Available online 9 June 2006.

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Abstract

We present a new bundle algorithm for minimizing convex not necessarily smooth functions. The novelty of our approach is based on a bundle modification strategy that we apply whenever the stability center is updated and which is aimed at substituting the points of the bundle by new points characterized by possibly better values of the objective function. Convergence of the algorithm is proved and numerical results are presented.

Keywords: Non-smooth optimization; Cutting planes; Bundle methods

Article Outline

1. Introduction
2. Bundle methods
3. The bundle modification strategy
3.1. Convergence
4. Numerical results
Acknowledgements
References

 
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