BFGS convergence to nonsmooth minimizers of convex functions
Abstract: The popular BFGS quasi-Newton minimization algorithm under reasonable conditions converges globally on smooth convex functions. This result was proved by Powell in 1976: we consider its implications for functions that are not smooth. In particular, an analogous convergence result holds for functions, like the Euclidean norm, that are nonsmooth at the minimizer.
Keywords: convex; BFGS; quasi-Newton; nonsmooth
Category 1: Nonlinear Optimization (Unconstrained Optimization )
Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )
Citation: Manuscript: School of ORIE, Cornell University.
Entry Submitted: 03/19/2017
Modify/Update this entry
|Visitors||Authors||More about us||Links|
Search, Browse the Repository
Give us feedback
|Optimization Journals, Sites, Societies|