A1 Refereed original research article in a scientific journal
Diagonal Bundle Method for Nonsmooth Sparse Optimization
Authors: Napsu Karmitsa
Publication year: 2015
Journal: Journal of Optimization Theory and Applications
Volume: 166
Issue: 3
First page : 889
Last page: 905
Number of pages: 17
ISSN: 0022-3239
DOI: https://doi.org/10.1007/s10957-014-0666-8
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.