Creator:
El Mouatasim, Abdelkrim ; Ellaia, Rachid ; Souza de Cursi, José E.
Contributor:
Korbicz, Józef - red. ; Uciński, Dariusz - red.
Title:
Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization
Group publication title:
Subject and Keywords:
nonconvex optimization ; stochastic perturbation ; variable metric method ; nonsmooth optimization ; generalized gradient
Abstract:
We consider the global optimization of a nonsmooth (nondifferentiable) nonconvex real function. We introduce a variable metric descent method adapted to nonsmooth situations, which is modified by the incorporation of suitable random perturbations. ; Convergence to a global minimum is established and a simple method for the generation of suitable perturbations is introduced. An algorithm is proposed and numerical results are presented, showing that the method is computationally effective and stable.
Publisher:
Zielona Góra: Uniwersytet Zielonogórski
Date:
Resource Type:
Pages:
Source:
AMCS, volume 16, number 4 (2006) ; click here to follow the link