A bundle filter method for nonsmooth nonlinear optimization

Roger Fletcher (fletchermaths.dundee.ac.uk)
Sven Leyffer (sleyffermaths.dundee.ac.uk)

Abstract: We consider minimizing a nonsmooth objective subject to nonsmooth constraints. The nonsmooth functions are approximated by a bundle of subgradients. The novel idea of a filter is used to promote global convergence.

Keywords: Nonsmooth optimization, bundle method, filter method

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation: NA\195, Department of Mathematics, University of Dundee, UK, December, 1999

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Entry Submitted: 08/21/2000
Entry Last Modified: 05/25/2001

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