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A Linesearch-based Derivative-free Approach for Nonsmooth Constrained Optimization

机译:基于线性搜索的非光滑无约束优化方法

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摘要

In this paper, we propose new linesearch-based methods for nonsmooth constrained optimization problems when first-order information on the problem functions is not available. In the first part, we describe a general framework for bound-constrained problems and analyze its convergence toward stationary points, using the Clarke-Jahn directional derivative. In the second part, we consider inequality constrained optimization problems where both objective function and constraints can possibly be nonsmooth. In this case, we first split the constraints into two subsets: difficult general nonlinear constraints and simple bound constraints on the variables. Then, we use an exact penalty function to tackle the difficult constraints and we prove that the original problem can be reformulated as the bound-constrained minimization of the proposed exact penalty function. Finally, we use the framework developed for the bound-constrained case to solve the penalized problem. Moreover, we prove that every accumulation point, under standard assumptions on the search directions, of the generated sequence of iterates is a stationary point of the original constrained problem. In the last part of the paper, we report extended numerical results on both bound-constrained and nonlinearly constrained problems, showing that our approach is promising when compared to some state-of-the-art codes from the literature.
机译:在本文中,当问题函数的一阶信息不可用时,我们针对非光滑约束优化问题提出了一种新的基于线性搜索的方法。在第一部分中,我们描述了约束约束问题的通用框架,并使用Clarke-Jahn方向导数分析了其向平稳点的收敛。在第二部分中,我们考虑了不平等约束优化问题,其中目标函数和约束可能都不平滑。在这种情况下,我们首先将约束分为两个子集:困难的一般非线性约束和变量的简单约束。然后,我们使用精确罚函数来解决困难的约束,并证明可以将原始问题重新表示为所提出的精确罚函数的边界约束最小化。最后,我们使用为约束约束案例开发的框架来解决惩罚问题。此外,我们证明,在搜索方向的标准假设下,生成的迭代序列的每个累加点都是原始约束问题的固定点。在本文的最后一部分中,我们报告了关于边界约束和非线性约束问题的扩展数值结果,表明与文献中的某些最新代码相比,我们的方法很有希望。

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