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ALOP-Colloquium with Prof. Andrea Walther
22. January 2018 / 16:00 - 18:00
Recent progress in the optimization of piecewise smooth functions
In a previous paper, we derived first and second order convexity conditions for a large class of piecewise smooth functions.
In that analysis based on piecewise linearization, a key assumption was the Linear Independence Kink Qualification (LIKQ), a generalization of the Linear Independence Constraint Qualification (LICQ) known from smooth nonlinear optimization. In this talk, we discuss recent results for the optimization of this class of functions.
This includes that even without any kink qualifications, local optimality of the nonlinear objective always requires local optimality of its piecewise linearization, and strict minimality of the latter is in fact equivalent to strong local minimality of the former. Moreover, we analyse convergence rates for an optimization algorithm based on successive piecewise linearization. Numerical results illustrate the theoretical findings.
This is joint work with Andreas Griewank, Yachay Tech, Ecuador
The presentation will take place in HS9.
Please join us for coffee at 15:45 in E10.