Algorithm 811: NDA: Algorithms for Nondifferentiable Optimization

0404561 - UIVT-O 20010178 RIV US eng J - Journal Article
Lukšan, Ladislav - Vlček, Jan
Algorithm 811: NDA: Algorithms for Nondifferentiable Optimization.
ACM Transactions on Mathematical Software. Roč. 27, č. 2 (2001), s. 193-213. ISSN 0098-3500. E-ISSN 1557-7295
R&D Projects: GA ČR GA201/00/0080
Institutional research plan: AV0Z1030915
Keywords : minimax optimization * discrete Chebyshev approximation * sequential quadratic programming methods * variable metric methods * general linear constraints
Subject RIV: BA - General Mathematics
Impact factor: 0.649, year: 2001

We present four basic FORTRAN subroutines for nondifferentiable optimization with simple bounds and general linear constraints. Subroutine PMIN, intended for minimax optimization, is based on a sequential quadratic programming variable metric algorithm. Subroutines PBUN and PNEW, intended for general nonsmooth problems, are based on bundle type methods. Subroutine PVAR is based on special nonsmooth variable metric methods.
Permanent Link: http://hdl.handle.net/11104/0124809