An optimal variant of Kelley's cutting-plane method
Optimization and Control
2015-06-16 v2
Abstract
We propose a new variant of Kelley's cutting-plane method for minimizing a nonsmooth convex Lipschitz-continuous function over the Euclidean space. We derive the method through a constructive approach and prove that it attains the optimal rate of convergence for this class of problems.
Cite
@article{arxiv.1409.2636,
title = {An optimal variant of Kelley's cutting-plane method},
author = {Yoel Drori and Marc Teboulle},
journal= {arXiv preprint arXiv:1409.2636},
year = {2015}
}