An Implementation of Shor's r-Algorithm |
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Authors: | Franz Kappel Alexei V. Kuntsevich |
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Affiliation: | (1) Institute for Mathematics, University of Graz, Heirichstr., 36, A-8010 Graz, Austria |
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Abstract: | 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 Non-Differentiable Functions, Springer-Verlag: Berlin, 1985. Springer Series in Computational Mathematics, vol. 3). 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. |
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Keywords: | nonsmooth nondifferential optimization nonlinear programming |
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