We introduce an algorithm to minimize a function of several variables with no convexity nor smoothness assumptions. The main peculiarity of our approach is the use of an the objective function model which is the difference of two piecewise affine convex functions. Bundling and trust region concepts are embedded into the algorithm. Convergence of the algorithm to a stationary point is proved.
Citation
Optimization Methods and Software, 18(1), 89-102, 2004.