Proximal-ACCPM: a versatile oracle based optimization method

  • Frédéric Babonneau
  • Cesar Beltran
  • Jean-Philippe Vial
  • Alain Haurie
  • Claude Tadonki
    • Categories Applications - OR and Management Sciences, Convex and Nonsmooth Optimization, Optimization Software and Modeling Systems Tags , , , , , , Short URL: https://optimization-online.org/?p=9624

    Oracle Based Optimization (OBO) conveniently designates an approach to handle a class of convex optimization problems in which the information pertaining to the function to be minimized and/or to the feasible set takes the form of a linear outer approximation revealed by an oracle. We show, through three representative examples, how difficult problems can be cast in this format, and solved. We present an efficient method, Proximal-ACCPM, to trigger the OBO approach and give a snapshot on numerical results. This paper summarizes several contributions with the OBO approach and aims to give, in a single report, enough information on the method and its implementation to facilitate new applications.

    Citation

    Research report, LOGILAB-HEC, University of Geneva, October 2004

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