A1 Refereed original research article in a scientific journal

Diagonal Bundle Method for Nonsmooth Sparse Optimization




AuthorsNapsu Karmitsa

Publication year2015

JournalJournal of Optimization Theory and Applications

Volume166

Issue3

First page 889

Last page905

Number of pages17

ISSN0022-3239

DOIhttps://doi.org/10.1007/s10957-014-0666-8


Abstract

We propose an efficient diagonal bundle method Dbundle for sparse nonsmooth, possibly nonconvex optimization. The convergence of the proposed method is proved for locally Lipschitz continuous functions that are not necessary differentiable nor convex. The numerical experiments have been made using problems with up to million variables. The results to be presented confirm the usability of the Dbundle especially for  extremely large-scale problems.




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