Basically, I am implementing the level method on a non-smooth convex optimization problem with dimension=3000 : http://www2.isye.gatech.edu/~nemirovs/Lect_EMCO.pdf However, at late stage of the algorithm, the algorithm spends too much time in calculating the linear programming and quadratic programming (basically takes up to a minute) while function evaluation only takes up to less than 1 second.... I am wondering what would be the state of art approach on this issue? Thank you:D
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