Projected subgradient method
= Projected subgradient method
The projected subgradient method minimizes a possibly nonsmooth <convex function> over a closed <convex set> $C$ by iterating $x_{i+1}=\Pi_C(x_i-t_i g_i)$ with $g_i\in\partial f(x_i)$. Nonexpansiveness of <Euclidean projection onto a convex set> and the <subgradient inequality> give its basic convergence bound.