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Paper details
Number 2 - June 2011
Volume 21 - 2011
Random perturbation of the projected variable metric method for nonsmooth nonconvex optimization problems with linear constraints
Abdelkrim El Mouatasim, Rachid Ellaia, Eduardo Souza de Cursi
Abstract
We present a random perturbation of the projected variable metric method for solving linearly constrained nonsmooth (i.e., nondifferentiable) nonconvex optimization problems, and we establish the convergence to a global minimum for a locally Lipschitz continuous objective function which may be nondifferentiable on a countable set of points. Numerical results show the effectiveness of the proposed approach.
Keywords
global optimization, linear constraints, variable metric method, stochastic perturbation, nonsmooth optimization