Trust region algorithm for nonsmooth optimization

摘要

Minimization of a composite function h(f(x)) is considered here, where f: Rn → Rm is a locally Lipschitzian function, and h: Rm → R is a continuously differentiable convex function. Theory of trust region algorithm for nonsmooth optimization given by Fletcher, Powell, and Yuan, is extended to this case. Trust region algorithm and its global convergence are studied. Finally, some applications on nonlinear and nonsmooth least squares problems are also given.