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Zbl 0584.65034
Kiwiel, Krzysztof C.
An algorithm for nonsmooth convex minimization with errors.
(English)
[J] Math. Comput. 45, 173-180 (1985). ISSN 0025-5718; ISSN 1088-6842/e

Author's summary: A readily implementable algorithm is given for minimizing any convex, not necessarily differentiable, function f of several variables. At each iteration the method requires only one approximate evaluation of f and its $\epsilon$-subgradient, and finds a search direction by solving a small quadratic programming problem. The algorithm generates a minimizing sequence of points, which converges to a solution whenever f has any minimizers.
[I.H.Mufti]
MSC 2000:
*65K05 Mathematical programming (numerical methods)
90C25 Convex programming

Keywords: nonsmooth convex minimization; descent methods; aggregate subgradients; iteration

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