Nonsmooth Optimization

A Pattern Search Filter Method for Nonlinear Programming without Derivatives

  • Charles Audet
  • John E. Dennis, Jr.
    • Categories Constrained Nonlinear Optimization, Nonsmooth Optimization Tags , , , , ,

    This paper presents and analyzes a pattern search method for general constrained optimization based on filter methods for step acceptance. Roughly, a filter method accepts a step that either improves the objective function value or the value of some function that measures the constraint violation. The new algorithm does not compute or approximate any derivatives, … Read more

    A bundle filter method for nonsmooth nonlinear optimization

  • Roger Fletcher
  • Sven Leyffer
    • Categories Convex and Nonsmooth Optimization, Nonsmooth Optimization Tags , ,

    We consider minimizing a nonsmooth objective subject to nonsmooth constraints. The nonsmooth functions are approximated by a bundle of subgradients. The novel idea of a filter is used to promote global convergence. CitationNA\195, Department of Mathematics, University of Dundee, UK, December, 1999ArticleDownload View PDF