Wim van Ackooij A key procedure in proximal bundle methods for convex minimization problems is the definition of stability centers, which are points generated by the iterative process that successfully decrease the objective function. In this paper we study a different stability-center classification rule for proximal bundle methods. We show that the proposed bundle variant has three particularly … Read more
We propose restricted memory level bundle methods for minimizing constrained convex nonsmooth optimization problems whose objective and constraint functions are known through oracles (black-boxes) that might provide inexact information. Our approach is general and covers many instances of inexact oracles, such as upper, lower and on-demand oracles. We show that the proposed level bundle methods … Read more
Joint chance constrained problems give rise to many algorithmic challenges. Even in the convex case, i.e., when an appropriate transformation of the probabilistic constraint is a convex function, its cutting-plane linearization is just an approximation, produced by an oracle providing subgradient and function values that can only be evaluated inexactly. As a result, the cutting-plane … Read more