Variable metric method for minimization of partially separable nonsmooth functions.

Ladislav Luksan (luksancs.cas.cz)
Jan Vlcek (vlcekcs.cas.cz)

Abstract: In this report, we propose a new partitioned variable metric method for minimization of nonsmooth partially separable functions. After a short introduction, the complete algorithm is introduced and some implementation details are given. We prove that this algorithm is globally convergent under standard mild assumptions. Computational experiments given confirm efficiency and robustness of the new method.

Keywords: Unconstrained optimization, large-scale optimization,

Category 1: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Category 2: Nonlinear Optimization (Unconstrained Optimization )

Citation: Report No. V-916, Institute of Computer Science, Academy of Sciences of the Czech Republic, Prague, March 2005.

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Entry Submitted: 03/22/2005
Entry Accepted: 03/23/2005
Entry Last Modified: 03/22/2005

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