Rate of Convergence of the Bundle Method
classification
🧮 math.OC
keywords
methodvarepsilonbundleaccuracyachievesaggregationconvergenceconvex
read the original abstract
We prove that the bundle method for nonsmooth optimization achieves solution accuracy $\varepsilon$ in at most $\mathcal{O}\big(\ln(1/\varepsilon)/\varepsilon\big)$ iterations, if the function is strongly convex. The result is true for the versions of the method with multiple cuts and with cut aggregation.
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