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Reports (Research Report) Year : 1993

A Class of variable metric bundle methods


To minimize a convex function [??], we state a class of penalty-type bundle algorithms, where the penalty uses a variable metric. This metric is updated according to quasi-Newton formulae based on Moreau-Yosida approximations of [??]. In particular, we introduce a "reversal" quasi-Newton formula, specially suited for our purpose. We consider several variants in the algorithm and discuss their respective merits. Furthermore, we accept a degenerate penalty term in the Moreau-Yosida regularization.


Other [cs.OH]
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inria-00074544 , version 1 (24-05-2006)


  • HAL Id : inria-00074544 , version 1


Claude Lemaréchal, Claudia Sagastizábal. A Class of variable metric bundle methods. [Research Report] RR-2128, INRIA. 1993. ⟨inria-00074544⟩
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