Nonsmooth Bundle Trust-region Algorithm with Applications to Robust Stability |
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Authors: | Pierre Apkarian Dominikus Noll Laleh Ravanbod |
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Institution: | 1.ONERA, Control System Department,Toulouse,France;2.Institut de Mathématiques,Université de Toulouse,Toulouse,France |
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Abstract: | We propose a bundle trust-region algorithm to minimize locally Lipschitz functions which are potentially nonsmooth and nonconvex. We prove global convergence of our method and show by way of an example that the classical convergence argument in trust-region methods based on the Cauchy point fails in the nonsmooth setting. Our method is tested experimentally on three problems in automatic control. |
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