Implementation of a subgradient projection algorithm

Abstract

This paper discusses the implementation of an algorithm due to Sreedharan [8] for the minimization, subject to linear constraints, of an objective function composed of the sum of a piecewise-affine, convex function with a smooth, strictly convex function. Successful techniques for two subproblems arising in the algorithm, a projection problem and a line search problem, are described in detail. Computational experience with the algorithm on several test problems is presented.

Keywords:

• optimization
• subgradient
• convex function
• algorithm

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• 5.4