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A bundle-Newton method for nonsmooth unconstrained minimization

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Abstract

An algorithm based on a combination of the polyhedral and quadratic approximation is given for finding stationary points for unconstrained minimization problems with locally Lips-chitz problem functions that are not necessarily convex or differentiable. Global convergence of the algorithm is established. Under additional assumptions, it is shown that the algorithm generates Newton iterations and that the convergence is superlinear. Some encouraging numerical experience is reported.

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Authors and Affiliations

  1. Institute of Computer Science, Academy of Sciences of the Czech Republic, Pod vodárenskou věží 2, 182 07, Prague 8, Czech Republic

    Ladislav Lukšan & Jan Vlček

Authors
  1. Ladislav Lukšan
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  2. Jan Vlček
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This work was supported by the grant No. 201/96/0918 given by the Czech Republic Grant Agency.

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Lukšan, L., Vlček, J. A bundle-Newton method for nonsmooth unconstrained minimization. Mathematical Programming 83, 373–391 (1998). https://doi.org/10.1007/BF02680566

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  • DOI: https://doi.org/10.1007/BF02680566

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