Diagonal Bundle Method for Nonsmooth Sparse Optimization




Napsu Karmitsa

2015

Journal of Optimization Theory and Applications

166

3

889

905

17

0022-3239

DOIhttps://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.




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