A fast gradient and function sampling method for finite-max functions
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Abstract: This paper tackles the unconstrained minimization of a class of nonsmooth and nonconvex functions that can be written as finite max-functions. A gradient and function-based sampling method is proposed which, under special circumstances, either moves superlinearly to a minimizer of the problem of interest or superlinearly improves the optimality certificate. Global and local convergence analysis are presented, as well as illustrative examples that corroborate and elucidate the obtained theoretical results.
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Cited in
(8)- A gradient sampling method based on ideal direction for solving nonsmooth optimization problems
- A new sequential optimality condition for constrained nonsmooth optimization
- On the local convergence analysis of the gradient sampling method for finite max-functions
- A quasi-Newton proximal bundle method using gradient sampling technique for minimizing nonsmooth convex functions
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- A primal nonsmooth reformulation for bilevel optimization problems
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