A trust region method for minimization of nonsmooth functions with linear constraints
Martínez, José Mario
Moretti, Antonio Carlos

Data: 1997
Resum: We introduce a trust region algorithm for minimization of nonsmooth functions with linear constraints. At each iteration, the objective function is approximated by a model function that satisfies a set of assumptions stated recently by Qi and Sun in the context of unconstrained nonsmooth optimization. The trust region iteration begins with the resolution of an "easy problem", as in recent works of Martínez and Santos and Friedlander, Martínez and Santos, for smooth constrained optimization. In practical implementations we use the infinity norm for defining the trust region, which fits well with the domain of the problem. We prove global convergence and report numerical experiments related to a parameter estimation problem. .
Drets: Tots els drets reservats.
Llengua: Anglès
Document: Article ; recerca ; Versió publicada
Matèria: Trust regions ; Nonsmooth functions ; Constrained optimization
Publicat a: Mathematical Programming, vol. 76 n. 3 (1997) p. 431-449, ISSN 0025-5610

19 p, 845.2 KB
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