A Projective Separating Plane Method with Additional Clipping for Non-Smooth Optimization

This paper is devoted to constructing a definite efficient scheme for non-smooth optimization. A separating plane algorithm with additional clipping is proposed. The algorithm is used for solving the unconstrained non-smooth convex optimization problem. The latter problem can be reformulated as the computation of the value of a conjugate function at the origin. The algorithm convergence is proved. Encouraging results of numerical experiments are presented. Key–Words: Non-smooth optimization, convex optimization, separating plane algorithms, black-box minimization