BFGS convergence to nonsmooth minimizers of convex functions
Optimization and Control
2017-03-21 v1
Abstract
The popular BFGS quasi-Newton minimization algorithm under reasonable conditions converges globally on smooth convex functions. This result was proved by Powell in 1976: we consider its implications for functions that are not smooth. In particular, an analogous convergence result holds for functions, like the Euclidean norm, that are nonsmooth at the minimizer.
Cite
@article{arxiv.1703.06690,
title = {BFGS convergence to nonsmooth minimizers of convex functions},
author = {Jiayi Guo and Adrian Lewis},
journal= {arXiv preprint arXiv:1703.06690},
year = {2017}
}