2008
DOI: 10.1007/978-0-387-74388-2_16
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Robert J. Vanderbei

Abstract: In this paper we propose a new approach for constructing efficient schemes for non-smooth convex optimization. It is based on a special smoothing technique, which can be applied to functions with explicit max-structure. Our approach can be considered as an alternative to black-box minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from O 1 2 to O 1 , keeping basically the complexity of each iteration unchange…

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