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The method of codifferential descent for convex and global piecewise affine optimization. (arXiv:1807.05538v1 [math.OC])
来源于:arXiv
The class of nonsmooth codifferentiable functions was introduced by professor
V.F.~Demyanov in the late 1980s. He also proposed a method for minimizing these
functions called the method of codifferential descent (MCD) that can be applied
to various nonsmooth optimization problems. However, until now almost no
theoretical results on the performance of this method on particular classes of
nonsmooth optimization problems were known. The main goal of this article is to
improve our understanding of the MCD and provide a theoretical foundation for
the comparison of the MCD with other methods of nonsmooth optimization. In the
first part of the paper we study the performance of the method of
codifferential descent on a class of nonsmooth convex functions satisfying some
regularity assumptions, which in the smooth case are reduced to the Lipschitz
continuity of the gradient. We prove that in this case the MCD has the
iteration complexity bound $\mathcal{O}(1 / \varepsilon)$. In the second part 查看全文>>