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1. An Algorithm For Minimization Of A Nondifferentiable Convex Function.

Author

DJURANOVIC-MILICIC, Nada and GARDASEVIC-FILIPOVIC, Milanka

Subjects
*ALGORITHMS, *CONVEX functions, *NONDIFFERENTIABLE functions, *STOCHASTIC convergence, *MATHEMATICAL optimization
Abstract

In this paper an algorithm for minimization of a nondifferentiable function is presented. The algorithm uses the Moreau-Yoshida regularization of the objective function and its second order Dini upper directional derivative. It is proved that the algorithm is well defined, as well as the convergence of the sequence of points generated by the algorithm to an optimal point. An estimate of the rate of convergence is given, too. [ABSTRACT FROM AUTHOR]

Published
2009