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Paper details
Number 4 - December 2006
Volume 16 - 2006
Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization
Abdelkrim El Mouatasim, Rachid Ellaia, José E. Souza de Cursi
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.
Keywords
nonconvex optimization, stochastic perturbation, variable metric method, nonsmooth optimization, generalized gradient