Smooth minimization of non-smooth functions
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In this paper we propose a new approach for constructing efficient schemes for non-smooth convex optimization. It is based on a special smoothing technique, which can be applied to functions with explicit max-structure. Our approach can be considered as an alternative to black-box minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from Open image in new window keeping basically the complexity of each iteration unchanged.
KeywordsNon-smooth optimization Convex optimization Optimal methods Complexity theory Structural optimization
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