Journal of Optimization Theory and Applications

, Volume 125, Issue 1, pp 1–18

An Effective Line Search for the Subgradient Method

Authors

  • C. Beltran
    • Researcher, Logilab, HECUniversity of Geneva
  • F. J. Heredia
    • Professor, Department of Statistics and Operations ResearchPolytechnical University of Catalonia
Article

DOI: 10.1007/s10957-004-1708-4

Cite this article as:
Beltran, C. & Heredia, F.J. J Optim Theory Appl (2005) 125: 1. doi:10.1007/s10957-004-1708-4

Abstract

One of the main drawbacks of the subgradient method is the tuning process to determine the sequence of steplengths. In this paper, the radar subgradient method, a heuristic method designed to compute a tuning-free subgradient steplength, is geometrically motivated and algebraically deduced. The unit commitment problem, which arises in the electrical engineering field, is used to compare the performance of the subgradient method with the new radar subgradient method.

Keywords

Lagrangian relaxationmultiplier updatingsubgradient methodradar unit commitment
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Copyright information

© Springer Science+Business Media, Inc. 2005