Random perturbation of the projected variable metric method for nonsmooth nonconvex optimization problems with linear constraints

Abdelkrim El Mouatasim; Rachid Ellaia; Eduardo de Cursi

doi:10.2478/v10006-011-0024-z

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Random perturbation of the projected variable metric method for nonsmooth nonconvex optimization problems with linear constraints

International Journal of Applied Mathematics and Computer Science

Volume 21 (2011): Issue 2 (June 2011)

By: Abdelkrim El Mouatasim, Rachid Ellaia and Eduardo de Cursi

Open Access

|Jun 2011

Abstract

We present a random perturbation of the projected variable metric method for solving linearly constrained nonsmooth (i.e., nondifferentiable) nonconvex optimization problems, and we establish the convergence to a global minimum for a locally Lipschitz continuous objective function which may be nondifferentiable on a countable set of points. Numerical results show the effectiveness of the proposed approach.

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Articles in this issue

DOI: https://doi.org/10.2478/v10006-011-0024-z | Journal eISSN: 2083-8492 | Journal ISSN: 1641-876X

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Language: English

Page range: 317 - 329

Published on: Jun 22, 2011

Published by: University of Zielona Góra

In partnership with: Paradigm Publishing Services

Publication frequency: 4 issues per year

Keywords:

global optimization,

linear constraints,

variable metric method,

stochastic perturbation,

nonsmooth optimization

Related subjects:

Mathematics,

Applied mathematics

© 2011 Abdelkrim El Mouatasim, Rachid Ellaia, Eduardo de Cursi, published by University of Zielona Góra
This work is licensed under the Creative Commons License.

Volume 21 (2011): Issue 2 (June 2011)