An improved subgradient method for constrained nondifferentiable optimization

Authors:
Sehun Kim;Bong-Sik Um
Affiliations:
Department of Management Science, Korea Advanced Institute of Science and Technology, Taejon, Korea;Department of Management Science, Korea Advanced Institute of Science and Technology, Taejon, Korea
Venue:
Operations Research Letters
Year:
1993

Citing 4
Cited 0

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Abstract

Polyak's subgradient method for constrained nondifferentiable optimization problems is modified in one respect to improve the computational efficiency. The two consecutive projection operations in Polyak method are combined into a single projection operation. The resulting algorithm has a convergence property which is strictly stronger than that of the original Polyak method. A computational test shows significant improvement both in the number of iterations and in the CPU time.