Michael L. Overton (Courant Institute, New York University)

Nonsmooth, nonconvex optimization
Monday 16 July 2012 at 15.00, JCMB 5215 - Joint with NAIS

Abstract

There are many algorithms for minimization when the objective function is differentiable, convex, or has some other known structure, but few options when none of the above hold, particularly when the objective function is nonsmooth at minimizers, as is often the case in applications. We discuss two algorithms for minimization of nonsmooth, nonconvex functions. Gradient Sampling is a simple method that, although computationally intensive, has a nice convergence theory. The method is robust and the convergence theory has recently been extended to constrained problems. BFGS is a well known method, developed for smooth problems, but which is remarkably effective for nonsmooth problems too. Although our theoretical results in the nonsmooth case are quite limited, we have made some remarkable empirical observations and have had broad success in applications. Limited Memory BFGS is a popular extension for large problems, and it is also applicable to the nonsmooth case, although our experience with it is more mixed.

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