Convergence and Computational Analyses for Some Variable Target Value and Subgradient Deflection Methods |
| |
Authors: | Churlzu Lim Hanif D Sherali |
| |
Institution: | (1) Grado Department of Industrial and Systems Engineering, Virginia Polytechnic Institute and State University, Blacksburg, VA 24061, USA |
| |
Abstract: | We consider two variable target value frameworks for solving large-scale nondifferentiable optimization problems. We provide
convergence analyses for various combinations of these variable target value frameworks with several direction-finding and
step-length strategies including the pure subgradient method, the volume algorithm, the average direction strategy, and a
generalized Polyak-Kelley cutting plane method. In addition, we suggest a further enhancement via a projected quadratic-fit
line-search whenever any of these algorithmic procedures experiences an improvement in the objective value. Extensive computational
results on different classes of problems reveal that these modifications and enhancements significantly improve the effectiveness
of the algorithms to solve Lagrangian duals of linear programs, even yielding a favorable comparison against the commercial
software CPLEX 8.1. |
| |
Keywords: | nondifferentiable optimization Lagrangian relaxation variable target value method (VTVM) level algorithm |
本文献已被 SpringerLink 等数据库收录! |
|