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Random perturbation of the projected variable metric method for nonsmooth nonconvex optimization problems with linear constraints

El Mouatasim A., Ellaia R., Souza de Cursi E.

International Journal of Applied Mathematics and Computer Science

2011

Vol. 21, no 2

317-329

We present a random perturbation of the projected variable metric method for solving linearly constrained nonsmooth (i.e., nondifferentiable) nonconvex optimization problems, and we establish the convergence to a global minimum for a locally Lipschitz continuous objective function which may be nondifferentiable on a countable set of points. Numerical results show the effectiveness of the proposed approach.