Adaptive Variable Metric Algorithms for Nonsmooth Optimization Problems

Uryasev, S.P. (1988). Adaptive Variable Metric Algorithms for Nonsmooth Optimization Problems. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-88-060


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This paper deals with new variable metric algorithms for nonsmooth optimization problems. The author develops so-called adaptive algorithms. The essence of such algorithms is as follows: there are two simultaneously working gradient algorithms, the first is in the main space and the second with respect to the matrix for modification of the space. The author proves convergence of such algorithms for different cases.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:59
Last Modified: 27 Aug 2021 17:13

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