Copyright © 2006 Elsevier B.V. All rights reserved.
Continuous Optimization
A bundle modification strategy for convex minimization
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







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