A bundle method using two polyhedral approximations of the epsilon-enlargement of a maximal monotone operator

Ludovic Nagesseur

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arXiv · 1305.5810

A bundle method using two polyhedral approximations of the epsilon-enlargement of a maximal monotone operator

Ludovic Nagesseur

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Abstract

In this work, we develop a variant of a bundle method in order to find a zero of a maximal monotone operator. This algorithm relies on two polyhedral approximations of the epsilon-enlargement of the considered operator, via a systematic use of the transportation formula. Moreover, the use of a double polyhedral approximation in our algorithm could inspire other bundle methods for the case where the given operator can be split as the sum of two other maximal monotone operators.

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Ludovic Nagesseur. 2013-05-24. A bundle method using two polyhedral approximations of the epsilon-enlargement of a maximal monotone operator. https://arxiv.org/abs/1305.5810

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