Variable-metric technique for the solution of affinely parametrized nondifferentiable optimal design problems (Q1824569)

The composite functions which appear in various optimal feedback system design problems, as well as in open-loop optimal control problems, can lead to severely ill-conditioned minimax problems. This ill-conditioning can cause first-order minimax algorithms to converge very slowly. We propose a variable metric technique which substantially mitigates this ill-conditioning. The technique does not require the evaluation of second derivatives and can be used to speed the convergence of any first-order minimax algorithm which produces estimates of the optimal multipliers. Numerical experiments are presented which show that the variable-metric technique increases the speed of two algorithms.