Article ID Journal Published Year Pages File Type
4641178 Journal of Computational and Applied Mathematics 2009 11 Pages PDF
Abstract

We propose a Generalized Pattern Search (GPS) method to solve a class of nonsmooth minimization problems, where the set of nondifferentiability is included in the union of known hyperplanes and, therefore, is highly structured. Both unconstrained and linearly constrained problems are considered. At each iteration the set of poll directions is enforced to conform to the geometry of both the nondifferentiability set and the boundary of the feasible region, near the current iterate. This is the key issue to guarantee the convergence of certain subsequences of iterates to points which satisfy first-order optimality conditions. Numerical experiments on some classical problems validate the method.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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