An Algorithm for Nonsmooth Optimization by Successive Piecewise Linearization
We present an optimization method for Lipschitz continuous, piecewise smooth (PS) objective functions based on successive piecewise linearization. Since, in many realistic cases, nondifferentiabilities are caused by the occurrence of abs(), max(), and min(), we concentrate on these nonsmooth elemental functions. The method’s idea is to locate an optimum of a PS objective function by … Read more