HANSO and HIFOO Two New MATLAB Codes. Michael L. Overton Courant Institute of Mathematical Sciences New York University Singapore, Jan 2006. Two New Codes. HANSO: Hybrid Algorithm for Nonsmooth Optimization
Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.
Michael L. Overton
Courant Institute of Mathematical Sciences
New York University
Singapore, Jan 2006
subject to X positive semidefinite and diag(X)=1
(A, X symmetric) (we usually set K=N/2)
H = QDQ* (* denotes transpose)
Search direction is d = -Hg= -QDQ*g (where g = gradient)
diag(D), sorted into ascending order
Components of |Q*g|, using same ordering
Components of |DQ*g|, using same ordering (search direction expanded in eigenvector basis)
for 0 < c1< 1,
f (x + td) ≤ f (x) + c1 t(grad f)(x)*d
for c1< c2 < 1,
(grad f)(x + td)*d ≥ c2 (grad f)(x)*d
| (grad f)(x + t d)*d | ≤ - c2 (grad f)(x)*d
until d = 0(or ||d|| £ tol)
Then reduce e and repeat.
Gong xi fa cai!
Gung hei fat choy!