Subgradient method: Difference between revisions

Revision as of 01:14, 24 November 2010

Revision as of 02:02, 11 December 2010

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Subgradient methods are slower than Newton's method when applied to minimize twice continuously differentiable convex functions. However, Newton's method fails to converge on problems that have non-differentiable kinks.

In recent years, some [[interior-point methods]] have been suggested for convex minimization problems, but subgradient projection methods and related bundle methods of descent remain competitive. For convex minimization problems with enormomousvery large number of dimensions, subgradient-projection methods are suitable, because they require little storage.

Subgradient projection methods are often applied to large-scale problems with decomposition techniques. Such decomposition methods often allow a simple distributed method for a problem.