Random perturbation of the projected variable metric method for nonsmooth nonconvex optimization problems with linear constraints

Authors:
Abdelkrim El Mouatasim;Rachid Ellaia;Eduardo De Cursi
Affiliations:
-;Laboratory of Study and Research in Applied Mathematics, Mohammadia School of Engineers, Mohammed V Agdal University, Ab Ibn sina, BP 765, Agdal, Rabat, Morocco;National Institute for Applied Sciences, Rouen Avenue de l'Université, BP 8, Saint-Etienne du Rouvray, France
Venue:
International Journal of Applied Mathematics and Computer Science - SPECIAL SECTION: Efficient Resource Management for Grid-Enabled Applications
Year:
2011

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Abstract

We present a random perturbation of the projected variable metric method for solving linearly constrained nonsmooth (i.e., nondifferentiable) nonconvex optimization problems, and we establish the convergence to a global minimum for a locally Lipschitz continuous objective function which may be nondifferentiable on a countable set of points. Numerical results show the effectiveness of the proposed approach.