Abstract.
In this paper we propose a new approach for constructing efficient schemes for non-smooth convex optimization. It is based on a special smoothing technique, which can be applied to functions with explicit max-structure. Our approach can be considered as an alternative to black-box minimization. From the viewpoint of efficiency estimates, we manage to improve the traditional bounds on the number of iterations of the gradient schemes from 
keeping basically the complexity of each iteration unchanged.
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This paper presents research results of the Belgian Program on Interuniversity Poles of Attraction initiated by the Belgian State, Prime Minister’s Office, Science Policy Programming. The scientific responsibility is assumed by the author.
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Nesterov, Y. Smooth minimization of non-smooth functions. Math. Program. 103, 127–152 (2005). https://doi.org/10.1007/s10107-004-0552-5
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DOI: https://doi.org/10.1007/s10107-004-0552-5