An algorithm for composite nonsmooth optimization problems
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Nonsmooth optimization problems are divided into two categories. The first is composite nonsmooth problems where the generalized gradient can be approximated by information available at the current point. The second is basic nonsmooth problems where the generalized gradient must be approximated using information calculated at previous iterates. Methods for minimizing composite nonsmooth problems where the nonsmooth function is made up from a finite number of smooth functions, and in particular max functions, are considered. A descent method which uses an active set strategy, a nonsmooth line search, and a quasi-Newton approximation to the reduced Hessian of a Lagrangian function is presented. The theoretical properties of the method are discussed and favourable numerical experience on a wide range of test problems is reported.
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