Adaptive variable metric methods for nondifferentiable optimization problems

Uryasev S (1990). Adaptive variable metric methods for nondifferentiable optimization problems. In: Analysis and Optimization of Systes. pp. 432-441 Germany: Springer Berlin/Heidelberg. ISBN 978-3-540-47085-4 DOI:10.1007/BFb0120066.

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Abstract

This paper deals with new variable metric algorithms for nonsmooth optimization problems, so-called “adaptive algorithms”. The essence of these are as follows: there are two simultaneously working gradient algorithms, the first in the main space, the second with respect to the matrices that modify the space variables. The convergence theorems for these algorithms are given for different cases.

Item Type: Book Section
Research Programs: Adaption and Optimization (ADO)
Depositing User: Romeo Molina
Date Deposited: 03 May 2016 13:11
Last Modified: 03 May 2016 13:11
URI: http://pure.iiasa.ac.at/13069

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