X International Seminar in Optimization and related Areas

Instituto de Matematica y Ciencias Anes

03 al 07 de Octubre de 2011. Lima, Per u
A Strictly feasible bundle method for solving convex
nondifferentiable minimization problems under
positivity or second-order constraints
Julio L

opez
*
Resumen
Bundle methods are at the moment the most ecient and promising methods for nonsmooth
optimization. The aim of this work is to describe the bundle method proximal type with variable
metric for solving convex nondierentiable minimization problems under positivity or second-order
cone constrained. This kind of problems consists of minimizing a convex function (possibly nonsmooth)
over the positive orthant or over the intersection of an ane linear space with the Cartesian product
of second-order cones. This method is based on the PAVM algorithm described by Alvarez et al.
(Optim. Methods Soft., 25 (6):859-881, 2010), which uses a variable metric and it is induced by a
class of positive denite matrices, with an appropriate choice of a regularization parameter. This
choice ensures the well-denedness of the proximal algorithm and forces the iterates to belong to the
interior of the feasible set. Also, each iteration generated by bundle method belong to the interior
of the feasible set. Moreover, under suitable assumptions, it is proven that each limit point of the
sequence generated by the algorithm solves the problem.
Finally, on the one hand computational results applied to several test problems, for instance
MAXQUAD, are reported, and on the other hand extensions of the PAVM algorithm are presented.
*
Departamento de Matematica, Universidad Tecnica Federico Santa Mara, Santiago, Chile (julio.lopez@usm.cl).