A limited-memory quasi-Newton algorithm for bound-constrained non-smooth optimization
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Abstract: We consider the problem of minimizing a continuous function that may be nonsmooth and nonconvex, subject to bound constraints. We propose an algorithm that uses the L-BFGS quasi-Newton approximation of the problem's curvature together with a variant of the weak Wolfe line search. The key ingredient of the method is an active-set selection strategy that defines the subspace in which search directions are computed. To overcome the inherent shortsightedness of the gradient for a nonsmooth function, we propose two strategies. The first relies on an approximation of the -minimum norm subgradient, and the second uses an iterative corrective loop that augments the active set based on the resulting search directions. We describe a Python implementation of the proposed algorithm and present numerical results on a set of standard test problems to illustrate the efficacy of our approach.
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Cited in
(14)- Representations of quasi-Newton matrices and their use in limited memory methods
- A convergence analysis of the method of codifferential descent
- Modeling approaches for addressing unrelaxable bound constraints with unconstrained optimization methods
- A subspace limited memory quasi-Newton algorithm for large-scale nonlinear bound constrained optimization
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