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Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization

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Mouatasim A. E., Ellaia R., Souza De Cursi J. E.

International Journal of Applied Mathematics and Computer Science

2006

tom 16

nr 4

463-474

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.

Ograniczanie wyników

1 International Journal of Applied Mathematics and Computer Science

1 Ellaia R.

1 Mouatasim A. E.

1 Souza De Cursi J. E.

1 2006

Wyniki wyszukiwania

Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization