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Une méthode de pénalisation exponentielle associée à une régularisation proximale. (An exponential penalty method associated to a proximal regularization). (French) Zbl 0623.90062

We suggest an implementable algorithm for solving a general nonsmooth convex program. We combine an exponential penalty method with the proximal method. We prove the convergence of the whole sequence generated by such an algorithm.

MSC:

90C25 Convex programming
65K05 Numerical mathematical programming methods
90C55 Methods of successive quadratic programming type
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