Abstract
We replace orthogonal projections in the Polyak subgradient method for nonnegatively constrained minimization with entropic projections, thus obtaining an interior-point subgradient method. Inexact entropic projections are quite cheap. Global convergence of the resulting method is established.
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Kiwiel, K.C. Subgradient Method with Entropic Projections for Convex Nondifferentiable Minimization. Journal of Optimization Theory and Applications 96, 159–173 (1998). https://doi.org/10.1023/A:1022671302532
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DOI: https://doi.org/10.1023/A:1022671302532