An implementation of Shor's r-algorithm

被引：80

作者：

Kappel, F ^{[1
]}

Kuntsevich, AV ^{[1
]}

机构：

[1] Graz Univ, Inst Math, A-8010 Graz, Austria

来源：

COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2000年 / 15卷 / 02期

基金：

奥地利科学基金会;

关键词：

nonsmooth; nondifferential optimization; nonlinear programming;

D O I：

10.1023/A:1008739111712

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Here we introduce a new implementation of well-known Shor's r-algorithm with space dilations along the difference of two successive (sub)gradients for minimization of a nonlinear (non-smooth) function (N.Z. Shor, Minimization methods for Non-Differentiable Functions, Springer-Verlag: Berlin, 1985. Springer Series in Computational Mathematics, vol. 3). The modifications made to Shor's algorithm are heuristic. They mostly concern the termination criteria and the line search strategy. A large number of test runs indicate that this implementation is very robust, efficient and accurate. We hope that this implementation of Shor's r-algorithm will prove to be useful for solving a wide class of non-smooth optimization problems.

引用

页码：193 / 205

页数：13