Optimization of Discontinuous Functions: A Generalized Theory of Differentiation
Luc Moreau, Dirk Aeyels · SIAM Journal on Optimization · 2000
Problems of optimization and optimal control with discontinuous costs are considered. For that purpose, we introduce some preliminary ideas of a new generalized theory of differentiation, the main ideas of which are inspired by the work of Clarke [Classics Appl. Math. 5, SIAM, Philadelphia, 1990]. We present two calculus rules and apply the introduced theory to the study of some optimization and optimal control problems with discontinuous costs.