Diagonal Bundle Method for Nonsmooth Sparse Optimization




Napsu Karmitsa

2014

TUCS Publication Series

1116

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



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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