Algorithm 811: NDA: Algorithms for nondifferentiable optimization

Citation
L. Luksan et J. Vlcek, Algorithm 811: NDA: Algorithms for nondifferentiable optimization, ACM T MATH, 27(2), 2001, pp. 193-213
Citations number
21
Language
INGLESE
art.tipo
Article
Categorie Soggetti
Computer Science & Engineering
Journal title
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE
ISSN journal
0098-3500 → ACNP
Volume
27
Issue
2
Year of publication
2001
Pages
193 - 213
Database
ISI
SICI code
0098-3500(200106)27:2<193:A8NAFN>2.0.ZU;2-0
Abstract
We present four basic Fortran subroutines for nondifferentiable optimizatio n with simple bounds and general linear constraints. Subroutine PMIN, inten ded for minimax optimization, is based on a sequential quadratic programmin g variable metric algorithm. Subroutines PBUN and PNEW, intended for genera l nonsmooth problems, are based on bundle-type methods. Subroutine PVAR is based on special nonsmooth variable metric methods. Besides the description of methods and codes, we propose computational experiments which demonstra te the efficiency of this approach.