Displaying similar documents to “Optimization problems with convex epigraphs. Application to optimal control”

Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization

Abdelkrim El Mouatasim, Rachid Ellaia, José Souza de Cursi (2006)

International Journal of Applied Mathematics and Computer Science

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We consider the global optimization of a nonsmooth (nondifferentiable) nonconvex real function. We introduce a variable metric descent method adapted to nonsmooth situations, which is modified by the incorporation of suitable random perturbations. Convergence to a global minimum is established and a simple method for the generation of suitable perturbations is introduced. An algorithm is proposed and numerical results are presented, showing that the method is computationally effective...