Decomposition method of descent for minimizing the sum of convex nonsmooth functions |
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| Authors: | K C Kiwiel |
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| Institution: | (1) Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland |
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| Abstract: | This paper presents a descent method for minimizing a sum of possibly nonsmooth convex functions. Search directions are found by solving subproblems obtained by replacing all but one of the component functions with their polyhedral approximations and adding a quadratic term. The algorithm is globally convergent and terminates when the objective function happens to be polyhedral. It yields a new decomposition method for solving large-scale linear programs with dual block-angular structure.Supported by Program CPBP 02.15.The author thanks the two referees for their helpful suggestions. |
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| Keywords: | Nondifferentiable optimization convex programming descent methods decomposition methods large-scale optimization |
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