Approximating subdifferentials by random sampling of gradients

Mathematics of Operations Research

Volumn 27, Issue 3, 2002, Pages 567-584

  Burke, J V ^a   Lewis, A S ^b   Overton, M L ^c  

^a UNIVERSITY OF WASHINGTON   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

Bundle method; Clarke subdifferential; Eigenvalue optimization; Generalized gradient; Nonsmooth analysis; Spectral abscissa; Stochastic gradient

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIATION (CALCULUS); EIGENVALUES AND EIGENFUNCTIONS; FUNCTIONS; GRADIENT METHODS; MATRIX ALGEBRA; OPTIMAL SYSTEMS; OPTIMIZATION; PROBABILITY; SET THEORY;

NONSMOOTH FUNCTIONS; SUBGRADIENT METHODS;

COMPUTATIONAL METHODS;

EID: 0036672502     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.27.3.567.317     Document Type: Article

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7. Methods of nondifferentiable and stochastic optimization and their applications
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9. Nondifferentiable optimization
10. Eigenvalue optimization
11. A method of conjugate subgradients for minimizing nondifferentiable functions