A superlinear space decomposition algorithm for constrained nonsmooth convex program

作者：Lu Yuan^*; Pang Li Ping; Guo Fang Fang; Xia Zun Quan

来源：Journal of Computational and Applied Mathematics, 2010, 234(1): 224-232.

DOI：10.1016/j.cam.2009.12.018

• Nonsmooth optimization
• Piecewise C(2)
• VU decomposition
• Second-order expansion

A class of constrained nonsmooth convex optimization problems, that is, piecewise C(2) convex objectives with smooth convex inequality constraints are transformed into unconstrained nonsmooth convex programs with the help of exact penalty function. The objective functions of these unconstrained programs are particular cases of functions with primal-dual gradient structure which has connection with Vu space decomposition. Then a VU space decomposition method for solving this unconstrained program is presented. This method is proved to converge with local superlinear rate under certain assumptions. An illustrative example is given to show how this method works.

• 出版日期2010-5-1
• 单位沈阳大学; 大连理工大学