An optimal variant of Kelley's cutting-plane method

Abstract

Wepropose a newvariant ofKelley’s cutting-planemethod forminimizing a nonsmooth convex Lipschitz-continuous function over the Euclidean space.We derive the method through a constructive approach and prove that it attains the optimal rate of convergence for this class of problems. 
DOI: 10.1007/s10107-016-0985-7

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