The chain rule for VU-decompositions of nonsmooth functions
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Publication:5110185
zbMATH Open1439.58003arXiv1909.04799MaRDI QIDQ5110185FDOQ5110185
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Publication date: 18 May 2020
Abstract: In Variational Analysis, VU-theory provides a set of tools that is helpful for understanding and exploiting the structure of nonsmooth functions. The theory takes advantage of the fact that at any point, the space can be separated into two orthogonal subspaces: one that describes the direction of nonsmoothness of the function, and the other on which the function behaves smoothly and has a gradient. For a composite function, this work establishes a chain rule that facilitates the computation of such gradients and characterizes the smooth subspace under reasonable conditions. From the chain rule presented, formulas for the separation, smooth perturbation and sum of functions are provided. Several nonsmooth examples are explored, including norm functions, max-of-quadratic functions and LASSO-type regularizations.
Full work available at URL: https://arxiv.org/abs/1909.04799
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Numerical optimization and variational techniques (65K10) Convex programming (90C25) Minimax problems in mathematical programming (90C47) Nonsmooth analysis (49J52) Real-valued functions on manifolds (58C05)
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