Scientific Computation and Applied & Industrial Mathematics Seminar: Sofia Zaourar

We consider convex nonsmooth optimization problems whose objective function is known through some expensive procedure. For example, this is the case in several problems that arise in electricity production management, where the objective function is itself the result of an optimization subproblem.

In this context, it often exists extra information - cheap but with unknown accuracy - that is not used by the algorithms. In this talk, we present a way to incorporate this coarse information into two classical nonsmooth optimization algorithms: Kelley method and level bundle method. We prove that the resulting methods are convergent and we present numerical illustrations showing that they speed up resolution.