Variable-metric technique for the solution of affinely parametrized nondifferentiable optimal design problems
type: Item
instance of: scholarly article
title: Variable-metric technique for the solution of affinely parametrized nondifferentiable optimal design problems
zbMATH Open document ID: 0682.90080
DOI: 10.1007/BF00940928
author: E. J. Wiest
author: Elijah Polak
published in: Journal of Optimization Theory and Applications
publication date: 1990-01-01T00:00:00Z
review text: The composite functions which appear in various optimal feedback system design problems, as well as in open-loop optimal control problems, can lead to severely ill-conditioned minimax problems. This ill-conditioning can cause first-order minimax algorithms to converge very slowly. We propose a variable metric technique which substantially mitigates this ill-conditioning. The technique does not require the evaluation of second derivatives and can be used to speed the convergence of any first-order minimax algorithm which produces estimates of the optimal multipliers. Numerical experiments are presented which show that the variable-metric technique increases the speed of two algorithms.
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 49K35
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 90-08
Mathematics Subject Classification ID: 93D15
Mathematics Subject Classification ID: 49N99
zbMATH DE Number: 4118175
zbMATH Keywords: nonsmooth optimization
zbMATH Keywords: rate of convergence
zbMATH Keywords: scaling
zbMATH Keywords: conditioning
zbMATH Keywords: composite functions
zbMATH Keywords: optimal feedback system design
zbMATH Keywords: ill-conditioned minimax problems
zbMATH Keywords: variable metric technique
describes a project that uses: LSSOL
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4118175