A direct search quasi-Newton method for nonsmooth unconstrained optimization
Price, Christopher John
ANZIAM Journal, Tome 59 (2018), / Harvested from Australian Mathematical Society
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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. doi:10.1017/S1446181117000323

Publié le : 2018-01-01
DOI : https://doi.org/10.21914/anziamj.v59i0.10651 
@article{10651,
     title = {A direct search quasi-Newton method for nonsmooth unconstrained optimization},
     journal = {ANZIAM Journal},
     volume = {59},
     year = {2018},
     doi = {10.21914/anziamj.v59i0.10651},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/10651}
}

Price, Christopher John. A direct search quasi-Newton method for nonsmooth unconstrained optimization. ANZIAM Journal, Tome 59 (2018) . doi : 10.21914/anziamj.v59i0.10651. http://gdmltest.u-ga.fr/item/10651/