Convergence of the gradient sampling algorithm for nonsmooth nonconvex optimization

摘要

We study the gradient sampling algorithm of Burke, Lewis, and Overton for minimizing a locally Lipschitz function f on R-n that is continuously differentiable on an open dense subset. We strengthen the existing convergence results for this algorithm and introduce a slightly revised version for which stronger results are established without requiring compactness of the level sets of f. In particular, we show that with probability 1 the revised algorithm either drives the f- values to -infinity, or each of its cluster points is Clarke stationary for f. We also consider a simplified variant in which the differentiability check is skipped and the user can control the number of f- evaluations per iteration.