An optimal variant of Kelley’s cutting-plane method

Yoel Drori, Marc Teboulle

Research output: Contribution to journalArticlepeer-review

Abstract

We propose a new variant of Kelley’s cutting-plane method for minimizing a nonsmooth convex Lipschitz-continuous function over the Euclidean space. We derive the method through a constructive approach and prove that it attains the optimal rate of convergence for this class of problems.

Original languageEnglish
Pages (from-to)321-351
Number of pages31
JournalMathematical Programming
Volume160
Issue number1-2
DOIs
StatePublished - 1 Nov 2016

Keywords

  • Bundle and subgradient methods
  • Complexity
  • Duality
  • Kelley’s cutting-plane method
  • Nonsmooth convex optimization
  • Rate of convergence

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