B1 Non-refereed article in a scientific journal

Diagonal Bundle Method for Nonsmooth Sparse Optimization




AuthorsNapsu Karmitsa

Publication year2014

JournalTUCS Publication Series

Issue1116

Web address http://tucs.fi/publications/view/?pub_id=tKarmitsa_Napsu14a


Abstract

We propose an efficient diagonal bundle method D-bundle 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 D-bundle especially for extremely large-scale problems.




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