An implementation of Shor’s \(r\)-algorithm. (English) Zbl 0947.90112
Summary: Here we introduce a new implementation of well-known Shor’s \(r\)-algorithm with space dilations along the difference of two successive (sub)gradients for minimization of a nonlinear (non-smooth) function [N. Z. Shor, Minimization methods for nondifferentiable functions. Berlin: Springer (1985; Zbl 0561.90058)]. The modifications made to Shor’s algorithm are heuristic. They mostly concern the termination criteria and the line search strategy. A large number of test runs indicate that this implementation is very robust, efficient and accurate. We hope that this implementation of Shor’s \(r\)-algorithm will prove to be useful for solving a wide class of non-smooth optimization problems.
MSC:
90C30 | Nonlinear programming |