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