- This is an implementation of the RedistProx algorithm by Hare and Sagastizabal.
- Excerpt from the description of the algorithm:
"Proximal bundle methods have been shown to be highly successful optimization methods for un- constrained convex problems with discontinuous first derivatives. This naturally leads to the question of whether proximal variants of bundle methods can be extended to a nonconvex setting. This work proposes an approach based on generating cutting-planes models, not of the objective function as most bundle methods do, but of a local convexification of the objective function. The corresponding convexification parameter is calculated "on the fly" in such a way that the algorithm can inform the user as to what proximal parameters are sufficiently large that the objective function is likely to have well defined proximal points."
- Full explanation of the algorithm is found in this paper.
- Get the files for the RedistProx method by emailing Sagastizabal.