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On piecewise quadratic Newton and trust region problems

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Abstract

Some recent algorithms for nonsmooth optimization require solutions to certain piecewise quadratic programming subproblems. Two types of subproblems are considered in this paper. The first type seeks the minimization of a continuously differentiable and strictly convex piecewise quadratic function subject to linear equality constraints. We prove that a nonsmooth version of Newton’s method is globally and finitely convergent in this case. The second type involves the minimization of a possibly nonconvex and nondifferentiable piecewise quadratic function over a Euclidean ball. Characterizations of the global minimizer are studied under various conditions. The results extend a classical result on the trust region problem.

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Authors and Affiliations

  1. Department of Decision Sciences, National University of Singapore, 119260, Singapore

    J. Sun

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  1. J. Sun
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Partially supported by National University of Singapore under grant 930033.

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Sun, J. On piecewise quadratic Newton and trust region problems. Mathematical Programming 76, 451–467 (1997). https://doi.org/10.1007/BF02614393

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  • DOI: https://doi.org/10.1007/BF02614393

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