A nonsmooth nonconvex descent algorithm

MaRDI QIDQ6327828zbMATH OpenFDO

Authors Jan Mankau, Friedemann Schuricht

Publication date 24 October 2019

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26) Discrete approximations in optimal control (49M25) Derivative-free methods and methods using generalized derivatives (90C56)

Abstract: The paper presents a new descent algorithm for locally Lipschitz continuous functions $f:XomathbbR$. The selection of a descent direction at some iteration point $x$ combines an approximation of the set-valued gradient of $f$ on a suitable neighborhood of $x$ (recently introduced by Mankau & Schuricht) with an Armijo type step control. The algorithm is analytically justified and it is shown that accumulation points of iteration points are critical points of $f$. Finally the algorithm is tested for numerous benchmark problems and the results are compared with simulations found in the literature.

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