A DIRECT SEARCH QUASI-NEWTON METHOD FOR NONSMOOTH UNCONSTRAINED OPTIMIZATION

A direct search quasi-Newton algorithm is presented for local minimization of Lipschitz continuous black-box functions. The method estimates the gradient via central differences using a maximal frame around each iterate. When nonsmoothness prevents progress, a global direction search is used to loca...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:The ANZIAM journal Jg. 59; H. 2; S. 215 - 231
1. Verfasser: PRICE, C. J.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Cambridge, UK Cambridge University Press 01.10.2017
Schlagworte:
Algorithms
Estimates
Methods
Optimization
Quasi Newton methods
65K05
nonconvex
Clarke generalized derivative
derivative free
ISSN:1446-1811, 1446-8735
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:A direct search quasi-Newton algorithm is presented for local minimization of Lipschitz continuous black-box functions. The method estimates the gradient via central differences using a maximal frame around each iterate. When nonsmoothness prevents progress, a global direction search is used to locate a descent direction. Almost sure convergence to Clarke stationary point(s) is shown, where convergence is independent of the accuracy of the gradient estimates. Numerical results show that the method is effective in practice.
Bibliographie:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:1446-1811
1446-8735
DOI:10.1017/S1446181117000323