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A trust region algorithm for nonsmooth optimization

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Abstract

A trust region algorithm is proposed for minimizing the nonsmooth composite functionF(x) = h(f(x)), wheref is smooth andh is convex. The algorithm employs a smoothing function, which is closely related to Fletcher's exact differentiable penalty functions. Global and local convergence results are given, considering convergence to a strongly unique minimizer and to a minimizer satisfying second order sufficiency conditions.

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Authors and Affiliations

  1. Institut für Numerische und Angewandte Mathematik, Georg-August-Universität Göttingen, Lotzestraße 16-18, D-37083, Göttingen, Germany

    T. Bannert

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  1. T. Bannert
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Bannert, T. A trust region algorithm for nonsmooth optimization. Mathematical Programming 67, 247–264 (1994). https://doi.org/10.1007/BF01582223

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  • DOI: https://doi.org/10.1007/BF01582223

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