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Comparing different subgradient methods for solving convex optimization problems with functional constraints

Authors :
Dinh, Thi Lan
Mai, Ngoc Hoang Anh
Publication Year :
2021

Abstract

We consider the problem of minimizing a convex, nonsmooth function subject to a closed convex constraint domain. The methods that we propose are reforms of subgradient methods based on Metel--Takeda's paper [Optimization Letters 15.4 (2021): 1491-1504] and Boyd's works [Lecture notes of EE364b, Stanford University, Spring 2013-14, pp. 1-39]. While the former has complexity $\mathcal{O}(\varepsilon^{-2r})$ for all $r> 1$, the complexity of the latter is $\mathcal{O}(\varepsilon^{-2})$. We perform some comparisons between these two methods using several test examples.<br />Comment: 25 pages, 10 tables, 15 figures

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2101.01045
Document Type :
Working Paper