Michael Overton, NYU, Nonsmooth, Nonconvex Optimization: Algorithms and Examples
SAS 1102In many applications one wishes to minimize an objective function that is not convex and is not differentiable at its minimizers. We discuss two algorithms for minimization of nonsmooth, nonconvex functions. Gradient Sampling is a simple method that, although computationally intensive, has a nice convergence theory. The method is robust and the convergence theory has…