AN IMPROVED SUBGRADIENT METHOD FOR CONSTRAINED NONDIFFERENTIABLE OPTIMIZATION

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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
Article Type
Article
Appears in Collection
NE-Journal Papers(저널논문)
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