| 来源类型 | Monograph (IIASA Working Paper) |
| 规范类型 | 论文 |
| A Bundle of Method for Minimizing a Sum of Convex Functions with Smooth Weights. | |
| Kiwiel K | |
| 发表日期 | 1994 |
| 出版者 | IIASA, Laxenburg, Austria: WP-94-013 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | We give a bundle method for minimizing a (possibly nondifferentiable and nonconvex) function h(z) = sum_{i=1}^m p_i(x) f_i(x) over a closed convex set in R^n, where p_i are nonnegative and smooth and f_i are finite-valued convex. Such functions arise in certain stochastic programming problems and scenario analysis. The method finds search directions via quadratic programming, using a polyhedral model of h that involves current linearizations of p_i and polyhedral models of f_i based on their accumulated subgradients. We show that the method is globally convergent to stationary points of h. The method exploits the structure of h and hence seems more promising than general-purpose bundle methods for nonconvex minimization. |
| 主题 | Optimization under Uncertainty (OPT) |
| URL | http://pure.iiasa.ac.at/id/eprint/4196/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/124309 |
| 推荐引用方式 GB/T 7714 | Kiwiel K. A Bundle of Method for Minimizing a Sum of Convex Functions with Smooth Weights.. 1994. |
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| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| WP-94-013.pdf（425KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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