DYNAMICAL ADJUSTMENT OF THE PROX-PARAMETER IN BUNDLE METHODS

Abstract

Proximal bundle methods are well known for their efficiency in nondifferentiable optimization. Their interpretation as approximate proximal methods yields a certain reversal poor-man formula for the regularization parameter in the proximal term. A new updating rule for this prox-parameter is introduced, based on the same scheme but making use of all the information available at each iteration. Numerical results assessing the validity of the approach are reported.