Nonsmooth trust-region algorithm with applications to robust stability of uncertain systems
Optimization and Control
2015-04-03 v1
Abstract
We propose a bundle trust-region algorithm to minimize locally Lipschitz functions which are potentially nonsmooth and nonconvex. We prove global convergence of our method and show by way of an example that the classical convergence argument in trust-region methods based on the Cauchy point fails in the nonsmooth setting. Our method is tested experimentally on three problems in automatic control.
Cite
@article{arxiv.1504.00648,
title = {Nonsmooth trust-region algorithm with applications to robust stability of uncertain systems},
author = {Pierre Apkarian and Dominikus Noll and Laleh Ravanbod},
journal= {arXiv preprint arXiv:1504.00648},
year = {2015}
}
Comments
26 pages, 1 figure, 3 tables