Summary and Info
For convex minimization we introduce an algorithm based on VU-space decomposition. The method uses a bundle subroutine to generate a sequence of approximate proximal points. When a primal-dual track leading to a solution and zero subgradient pair exists, these points approximate the primal track points and give the algorithm's V, or corrector, steps. The subroutine also approximates dual track points that are U-gradients needed for the method's U-Newton predictor steps. With the inclusion of a simple line search the resulting algorithm is proved to be globally convergent. The convergence is superlinear if the primal-dual track points and the objective's U-Hessian are approximated well enough.
More About the Author
Mifflin Emlen Bell (October 20, 1847 – May 31, 1904), often known as M.E. Bell, was an American architect who served from 1883 to 1886 as Supervising Architect of the US Treasury Department.
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