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A Class of variable metric bundle methods

Abstract : To minimize a convex function [??], we state a class of penalty-type bundle algorithms, where the penalty uses a variable metric. This metric is updated according to quasi-Newton formulae based on Moreau-Yosida approximations of [??]. In particular, we introduce a "reversal" quasi-Newton formula, specially suited for our purpose. We consider several variants in the algorithm and discuss their respective merits. Furthermore, we accept a degenerate penalty term in the Moreau-Yosida regularization.
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https://hal.inria.fr/inria-00074544
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 3:43:49 PM
Last modification on : Friday, May 25, 2018 - 12:02:05 PM
Long-term archiving on: : Sunday, April 4, 2010 - 9:50:12 PM

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  • HAL Id : inria-00074544, version 1

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Claude Lemaréchal, Claudia Sagastizábal. A Class of variable metric bundle methods. [Research Report] RR-2128, INRIA. 1993. ⟨inria-00074544⟩

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