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Proximal-ACCPM: a versatile oracle based optimization method

F. Babonneau (Frederic.Babonneau***at***hec.unige.ch)
C. Beltran (cesar.beltran***at***hec.unige.ch)
A. Haurie (alain.haurie***at***hec.unige.ch)
C. Tadonki (claude.tadonki***at***unige.ch)
J.-P. Vial (jean-philippe.vial***at***hec.unige.ch)

Abstract: 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.

Keywords: Non-differentiable optimization, cutting plane methods, interior-point methods, Proximal-ACCPM, multicommodity flow, p-median, integrated assessment models

Category 1: Convex and Nonsmooth Optimization

Category 2: Optimization Software and Modeling Systems

Category 3: Applications -- OR and Management Sciences

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

Download: [PDF]

Entry Submitted: 10/27/2004
Entry Accepted: 10/27/2004
Entry Last Modified: 10/27/2004

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