A quasi-Newton method for unconstrained non-smooth problems

被引：0
|
作者：
Corradi, Gianfranco [1 ]
机构：
[1] Univ Roma La Sapienza, Dept Methods & Models Econ Terr & Finance, I-00161 Rome, Italy
来源：
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS | 2016年 / 93卷 / 01期
关键词：
variational inequality; unconstrained optimization; non-differentiable problems; COMPLEMENTARITY-PROBLEMS; BUNDLE METHODS;
D O I：
10.1080/00207160.2014.990896
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We present a method, based on a variational problem, for solving a non-smooth unconstrained optimization problem. We assume that the objective function is a Lipschitz continuous and a regular function. In this case the function of our variational problem is semismooth and a quasi-Newton method may be used to solve the variational problem. A convergence theorem for our algorithm and its discrete version is also proved. Preliminary computational results show that the method performs quite well and can compete with other methods.
引用
收藏
页码：128 / 141
页数：14
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