A single cut proximal bundle method for stochastic convex composite optimization

In this paper, we consider optimization problems where the objective is the sum of a function given by an expectation and a closed convex composite function. For such problems, we propose a stochastic composite proximal bundle (SCPB) method with optimal complexity. The method does not require estimation of parameters involved in the assumptions on the … Read more

An Accelerated Inexact Dampened Augmented Lagrangian Method for Linearly-Constrained Nonconvex Composite Optimization Problems

This paper proposes and analyzes an accelerated inexact dampened augmented Lagrangian (AIDAL) method for solving linearly-constrained nonconvex composite optimization problems. Each iteration of the AIDAL method consists of: (i) inexactly solving a dampened proximal augmented Lagrangian (AL) subproblem by calling an accelerated composite gradient (ACG) subroutine; (ii) applying a dampened and under-relaxed Lagrange multiplier update; … Read more

A unified analysis of a class of proximal bundle methods for solving hybrid convex composite optimization problems

This paper presents a proximal bundle (PB) framework based on a generic bundle update scheme for solving the hybrid convex composite optimization (HCCO) problem and establishes a common iteration-complexity bound for any variant belonging to it. As a consequence, iteration-complexity bounds for three PB variants based on different bundle update schemes are obtained in the … Read more