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A proximal bundle method for nonsmooth nonconvex functions with inexact information

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  • W. Hare
  • C. Sagastizábal
  • M. Solodov

Abstract

For a class of nonconvex nonsmooth functions, we consider the problem of computing an approximate critical point, in the case when only inexact information about the function and subgradient values is available. We assume that the errors in function and subgradient evaluations are merely bounded, and in principle need not vanish in the limit. We examine the redistributed proximal bundle approach in this setting, and show that reasonable convergence properties are obtained. We further consider a battery of difficult nonsmooth nonconvex problems, made even more difficult by introducing inexactness in the available information. We verify that very satisfactory outcomes are obtained in our computational implementation of the inexact algorithm. Copyright Springer Science+Business Media New York 2016

Suggested Citation

  • W. Hare & C. Sagastizábal & M. Solodov, 2016. "A proximal bundle method for nonsmooth nonconvex functions with inexact information," Computational Optimization and Applications, Springer, vol. 63(1), pages 1-28, January.
    • Handle: RePEc:spr:coopap:v:63:y:2016:i:1:p:1-28
    DOI: 10.1007/s10589-015-9762-4
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    References listed on IDEAS

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    1. W. Hare & J. Nutini, 2013. "A derivative-free approximate gradient sampling algorithm for finite minimax problems," Computational Optimization and Applications, Springer, vol. 56(1), pages 1-38, September.
    2. M. V. Solodov, 2003. "On Approximations with Finite Precision in Bundle Methods for Nonsmooth Optimization," Journal of Optimization Theory and Applications, Springer, vol. 119(1), pages 151-165, October.
    3. Grégory Emiel & Claudia Sagastizábal, 2010. "Incremental-like bundle methods with application to energy planning," Computational Optimization and Applications, Springer, vol. 46(2), pages 305-332, June.
    4. Krzysztof Czesław Kiwiel, 1985. "A Linearization Algorithm for Nonsmooth Minimization," Mathematics of Operations Research, INFORMS, vol. 10(2), pages 185-194, May.
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    Cited by:

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    2. Fan-Yun Meng & Li-Ping Pang & Jian Lv & Jin-He Wang, 2017. "An approximate bundle method for solving nonsmooth equilibrium problems," Journal of Global Optimization, Springer, vol. 68(3), pages 537-562, July.
    3. Jie Shen & Ya-Li Gao & Fang-Fang Guo & Rui Zhao, 2018. "A Redistributed Bundle Algorithm for Generalized Variational Inequality Problems in Hilbert Spaces," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 35(04), pages 1-18, August.
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    5. Wim Ackooij & Nicolas Lebbe & Jérôme Malick, 2017. "Regularized decomposition of large scale block-structured robust optimization problems," Computational Management Science, Springer, vol. 14(3), pages 393-421, July.
    6. W. Ackooij & S. Demassey & P. Javal & H. Morais & W. Oliveira & B. Swaminathan, 2021. "A bundle method for nonsmooth DC programming with application to chance-constrained problems," Computational Optimization and Applications, Springer, vol. 78(2), pages 451-490, March.
    7. Wim Ackooij & Welington Oliveira, 2019. "Nonsmooth and Nonconvex Optimization via Approximate Difference-of-Convex Decompositions," Journal of Optimization Theory and Applications, Springer, vol. 182(1), pages 49-80, July.
    8. Najmeh Hoseini Monjezi & S. Nobakhtian, 2019. "A new infeasible proximal bundle algorithm for nonsmooth nonconvex constrained optimization," Computational Optimization and Applications, Springer, vol. 74(2), pages 443-480, November.
    9. M. Maleknia & M. Shamsi, 2020. "A new method based on the proximal bundle idea and gradient sampling technique for minimizing nonsmooth convex functions," Computational Optimization and Applications, Springer, vol. 77(2), pages 379-409, November.
    10. Welington Oliveira, 2019. "Proximal bundle methods for nonsmooth DC programming," Journal of Global Optimization, Springer, vol. 75(2), pages 523-563, October.
    11. Martina Kuchlbauer & Frauke Liers & Michael Stingl, 2022. "Adaptive Bundle Methods for Nonlinear Robust Optimization," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2106-2124, July.
    12. Najmeh Hoseini Monjezi & S. Nobakhtian, 2021. "A filter proximal bundle method for nonsmooth nonconvex constrained optimization," Journal of Global Optimization, Springer, vol. 79(1), pages 1-37, January.
    13. N. Hoseini Monjezi & S. Nobakhtian, 2022. "An inexact multiple proximal bundle algorithm for nonsmooth nonconvex multiobjective optimization problems," Annals of Operations Research, Springer, vol. 311(2), pages 1123-1154, April.
    14. Li-Ping Pang & Fan-Yun Meng & Jian-Song Yang, 2023. "A class of infeasible proximal bundle methods for nonsmooth nonconvex multi-objective optimization problems," Journal of Global Optimization, Springer, vol. 85(4), pages 891-915, April.
    15. Jian Lv & Li-Ping Pang & Fan-Yun Meng, 2018. "A proximal bundle method for constrained nonsmooth nonconvex optimization with inexact information," Journal of Global Optimization, Springer, vol. 70(3), pages 517-549, March.
    16. Xiaoliang Wang & Liping Pang & Qi Wu & Mingkun Zhang, 2021. "An Adaptive Proximal Bundle Method with Inexact Oracles for a Class of Nonconvex and Nonsmooth Composite Optimization," Mathematics, MDPI, vol. 9(8), pages 1-27, April.
    17. Tang, Chunming & Liu, Shuai & Jian, Jinbao & Ou, Xiaomei, 2020. "A multi-step doubly stabilized bundle method for nonsmooth convex optimization," Applied Mathematics and Computation, Elsevier, vol. 376(C).

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