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An Effective Line Search for the Subgradient Method

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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.

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Authors and Affiliations

  1. Researcher, Logilab, HEC, University of Geneva, Geneva, Switzerland

    C. Beltran

  2. Professor, Department of Statistics and Operations Research, Polytechnical University of Catalonia, Barcelona, Spain

    F. J. Heredia

Authors
  1. C. Beltran
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  2. F. J. Heredia
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Communicated by M. Simaan

This research was supported by the Spanish Government, CICYT Grant TAP99-1075-C02-01. We acknowledge the technical support from Logilab (HEC, University of Geneva) and especially the valuable remarks and suggestions of the referees.

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Beltran, C., Heredia, F.J. An Effective Line Search for the Subgradient Method. J Optim Theory Appl 125, 1–18 (2005). https://doi.org/10.1007/s10957-004-1708-4

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  • DOI: https://doi.org/10.1007/s10957-004-1708-4

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