El Mouatasim, Abdelkrim; Ellaia, Rachid; Souza de Cursi, José E. Random perturbation of the variable metric method for unconstrained nonsmooth nonconvex optimization. (English) Zbl 1160.90694 Int. J. Appl. Math. Comput. Sci. 16, No. 4, 463-474 (2006). Summary: We consider the global optimization of a nonsmooth (nondifferentiable) nonconvex real function. We introduce a variable metric descent method adapted to nonsmooth situations, which is modified by the incorporation of suitable random perturbations. Convergence to a global minimum is established and a simple method for the generation of suitable perturbations is introduced. An algorithm is proposed and numerical results are presented, showing that the method is computationally effective and stable. Cited in 5 Documents MSC: 90C55 Methods of successive quadratic programming type 90C30 Nonlinear programming 49J52 Nonsmooth analysis Keywords:nonconvex optimization; stochastic perturbation; variable metric method; nonsmooth optimization; generalized gradient Software:SIGMA_ PDFBibTeX XMLCite \textit{A. El Mouatasim} et al., Int. J. Appl. Math. Comput. Sci. 16, No. 4, 463--474 (2006; Zbl 1160.90694) Full Text: EuDML Link