Lipschitz-free Projected Subgradient Method with Time-varying Step-size

  • Yong Xia
  • Yanhao Zhang
  • Zhihan
    • Categories Convex and Nonsmooth Optimization, Convex Optimization, Nonsmooth Optimization Tags , , Short URL: https://optimization-online.org/?p=27932

    We introduce a novel time-varying step-size for the classical projected subgradient method, offering optimal ergodic convergence. Importantly, this approach does not depend on the Lipschitz assumption of the objective function, thereby broadening the convergence result of projected subgradient method to non-Lipschitz case.

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