An inexact modified subgradient algorithm for nonconvex optimization

Burachik R. S., Kaya C. Y., MƏMMƏDOV M.

Computational Optimization and Applications, vol.45, no.1, pp.1-24, 2010 (SCI-Expanded, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 45 Say: 1
  • Nəşr tarixi: 2010
  • Doi nömrəsi: 10.1007/s10589-008-9168-7
  • jurnalın adı: Computational Optimization and Applications
  • Jurnalın baxıldığı indekslər: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Səhifə sayı: pp.1-24
  • Açar sözlər: Bang-bang control, Inexact minimization, Modified subgradient method, Nonconvex optimization, Nonsmooth optimization, Sharp augmented Lagrangian
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Bəli

Qısa məlumat

We propose and analyze an inexact version of the modified subgradient (MSG) algorithm, which we call the IMSG algorithm, for nonsmooth and nonconvex optimization over a compact set. We prove that under an approximate, i.e. inexact, minimization of the sharp augmented Lagrangian, the main convergence properties of the MSG algorithm are preserved for the IMSG algorithm. Inexact minimization may allow to solve problems with less computational effort. We illustrate this through test problems, including an optimal bang-bang control problem, under several different inexactness schemes. © 2008 Springer Science+Business Media, LLC.