AN IMPROVED SUBGRADIENT METHOD FOR CONSTRAINED NONDIFFERENTIABLE OPTIMIZATION

Polyak's subgradient method for constrained nondifferentiable optimization problems is modified in one respect to improve the computational efficiency. The two consecutive projection operations in Polyak method are combined into a single projection operation. The resulting algorithm has a convergence property which is strictly stronger than that of the original Polyak method. A computational test shows significant improvement both in the number of iterations and in the CPU time.
Publisher
ELSEVIER SCIENCE BV
Issue Date
1993-08
Language
ENG
Citation

OPERATIONS RESEARCH LETTERS, v.14, no.1, pp.61 - 64

ISSN
0167-6377
DOI
10.1016/0167-6377(93)90020-H
URI
http://hdl.handle.net/10203/1851
Appears in Collection
NE-Journal Papers(저널논문)
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