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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Rapport
[Research Report] RR-2128, INRIA. 1993
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https://hal.inria.fr/inria-00074544
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Soumis le : mercredi 24 mai 2006 - 15:43:49
Dernière modification le : samedi 17 septembre 2016 - 01:35:25
Document(s) archivé(s) le : dimanche 4 avril 2010 - 21:50:12

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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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