Globally convergent BFGS method for nonsmooth convex optimization (Q1573986): Difference between revisions

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Property / author: Masao Fukushima / rank
 
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Latest revision as of 08:32, 30 July 2024

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Globally convergent BFGS method for nonsmooth convex optimization
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    Globally convergent BFGS method for nonsmooth convex optimization (English)
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    17 June 2002
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    For the unconstrained minimization of a nonsmooth strongly convex function \(f:\mathbb{R}^n\to \mathbb{R}\), the authors apply the BFGS method to its Moreau-Yosida regularization. The algorithm they propose makes use of approximate values of the regularized function and of its gradient; it is proved to converge to the unique optimal solution.
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    BFGS method
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    nonsmooth convex optimization
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    Moreau-Yosida regularization
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