An optimal variant of Kelley's cutting-plane method

• 成果类型: Article
• 署名作者: Drori, Yoel; Teboulle, Marc
• 署名单位: Tel Aviv University
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-016-0985-7
• 发表日期: 2016
• 页码: 321-351
• 关键词: bundle methods

摘要

We propose a new variant of Kelley's cutting-plane method for minimizing a nonsmooth convex Lipschitz-continuous function over the Euclidean space. We derive the method through a constructive approach and prove that it attains the optimal rate of convergence for this class of problems.