An alternating linearization bundle method for convex optimization and nonlinear multicommodity flow problems

• 成果类型: Article
• 署名作者: Kiwiel, K. C.
• 署名单位: Polish Academy of Sciences; Systems Research Institute of the Polish Academy of Sciences
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-009-0327-0
• 发表日期: 2011
• 页码: 59-84
• 关键词: lagrangian-relaxation

摘要

We give a bundle method for minimizing the sum of two convex functions, one of them being known only via an oracle of arbitrary accuracy. Each iteration involves solving two subproblems in which the functions are alternately represented by their linearizations. Our approach is motivated by applications to nonlinear multicommodity flow problems. Encouraging numerical experience on large scale problems is reported.