Multivariate spectral gradient algorithm for nonsmooth convex optimization problems (Q1664763): Difference between revisions

Summary: We propose an extended multivariate spectral gradient algorithm to solve the nonsmooth convex optimization problem. First, by using Moreau-Yosida regularization, we convert the original objective function to a continuously differentiable function; then we use approximate function and gradient values of the Moreau-Yosida regularization to substitute the corresponding exact values in the algorithm. The global convergence is proved under suitable assumptions. Numerical experiments are presented to show the effectiveness of this algorithm.