Piecewise-linear approximation methods for nonseparable convex optimization. (English) Zbl 0648.90059
An algorithm is described for the solution of nonseparable convex optimization problems. The method employs iterative piecewise linear approximation of the objective function. A global convergence proof is given under the assumptions that the objective function is Lipschitz continuous and differentiable and that the feasible set is convex and compact. Some numerical results are presented to illustrate the decomposition feature of the problem.
Reviewer: A.Shapiro