Discrete gradient method: Derivative-free method for nonsmooth optimization

Date

2008-05-01

Author

Bagirov, A. M.
Karasözen, Bülent
Sezer, M.

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A new derivative-free method is developed for solving unconstrained nonsmooth optimization problems. This method is based on the notion of a discrete gradient. It is demonstrated that the discrete gradients can be used to approximate subgradients of a broad class of nonsmooth functions. It is also shown that the discrete gradients can be applied to find descent directions of nonsmooth functions. The preliminary results of numerical experiments with unconstrained nonsmooth optimization problems as well as the comparison of the proposed method with the nonsmooth optimization solver DNLP from CONOPT-GAMS and the derivative-free optimization solver CONDOR are presented.

Subject Keywords

Nonsmooth optimization, Derivative-free optimization, Subdifferential, Discrete gradients

URI

https://hdl.handle.net/11511/32669

Collections

Graduate School of Applied Mathematics, Article