A Modified BFGS Formula Using a Trust Region Model for Nonsmooth Convex Minimizations

Zengru Cui, Gonglin Yuan, Zhou Sheng, Wenjie Liu, Xiaoliang Wang and Xiabin Duan

PLOS ONE, 2015, vol. 10, issue 10, 1-15

Abstract: This paper proposes a modified BFGS formula using a trust region model for solving nonsmooth convex minimizations by using the Moreau-Yosida regularization (smoothing) approach and a new secant equation with a BFGS update formula. Our algorithm uses the function value information and gradient value information to compute the Hessian. The Hessian matrix is updated by the BFGS formula rather than using second-order information of the function, thus decreasing the workload and time involved in the computation. Under suitable conditions, the algorithm converges globally to an optimal solution. Numerical results show that this algorithm can successfully solve nonsmooth unconstrained convex problems.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0140606

DOI: 10.1371/journal.pone.0140606

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