Subgradient method with feasible inexact projections for constrained convex optimization problems

Abstract

In this paper, we propose a new inexact version of the projected subgradient method to solve nondifferentiable constrained convex optimization problems. The method combine $\epsilon$-subgradient method with a procedure to obtain a feasible inexact projection onto the constraint set. Asymptotic convergence results and iteration-complexity bounds for the sequence generated by the method employing the well known exogenous stepsizes, Polyak's stepsizes, and dynamic stepsizes are established.