Two-direction subgradient method for non-differentiable optimization problems

  • Authors:

  • Sehun Kim;Seokha Koh;Hyunsil Ahn

  • Affiliations:

  • Department of Management Science, Korea Advanced Institute of Science and Technology, P.O. Box 150, Chungyang, Seoul, Korea;Department of Management Science, Korea Advanced Institute of Science and Technology, P.O. Box 150, Chungyang, Seoul, Korea;Department of Management Science, Korea Advanced Institute of Science and Technology, P.O. Box 150, Chungyang, Seoul, Korea

  • Venue:
  • Operations Research Letters
  • Year:
  • 1987

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Abstract

One more search direction is introduced into the subgradient method for non-differentiable optimization problems to enhance the speed of convergence. The proposed algorithm generates a point which is strictly closer and forms a more acute angle to the solution set than the point generated by the subgradient method. The resulting algorihtm still remains very simple. A computational test shows great improvement in the computational efficiency using this algorithm.