A primal-dual approach to inexact subgradient methods |
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Authors: | Kelly T. Au |
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Affiliation: | (1) DataMost Corporation, P.O. Box 65389, 84165 Salt Lake City, UT, USA |
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Abstract: | For optimization problems with computationally demanding objective functions and subgradients, inexact subgradient methods (IXS) have been introduced by using successive approximation schemes within subgradient optimization methods (Au et al., 1994). In this paper, we develop alternative solution procedures when the primal-dual information of IXS is utilized. This approach is especially useful when the projection operation onto the feasible set is difficult. We also demonstrate its applicability to stochastic linear programs. |
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Keywords: | Inexact subgradient methods Primal-dual Approximations |
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