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On a bundle algorithm for nonsmooth optimization. (English) Zbl 0533.49023
Nonlinear programming 4, Proc. Symp., Madison/Wis. 1980, 245-282 (1981).
Summary: [For the entire collection see Zbl 0527.00013.]
An algorithm for the optimization of functions whose gradient is not continuous is presented. Motivation is emphasized. The algorithm is given in detail, including aspects of implementation, and its convergence is proved. It is also shown how this algorithm can handle simple linear constraints, through an active set strategy.

MSC:
49M37 Numerical methods based on nonlinear programming
65K05 Numerical mathematical programming methods
90C30 Nonlinear programming
90C52 Methods of reduced gradient type