A MULTI-STEP CURVE SEARCH ALGORITHM IN NONLINEAR OPTIMIZATION: NONDIFFERENTIABLE CONVEX CASE
Nada I. Ðuranovic-Miliÿcic · 2010
In this paper a multi-step algorithm for minimization of a nondifferentiable function is presented. It is based on the results from (5) and (6). The algorithm uses the Moreau-Yosida regularization of the objective function and its second order Dini upper directional derivative. This method uses previous multi-step iterative information and curve search to generate new iterative points. It is proved that the algorithm is well defined, as well as the convergence of the sequence of points generated by the algorithm to an optimal point. An estimate of the rate of convergence is given, too.