A Nonmonotone Hestenes ans Stiefel Conjugate Gradient Algorithm for Nonsmooth Convex Optimization

Document Type: Research Paper

Authors

1 Department of Mathematical Sciences , Ferdowsi University of Mashhad, Mashhad, Iran

2 Ferdowsi University of Mashhad

Abstract

Here, we propose a practical method for solving nonsmooth convex problems by using conjugate gradient type methods. We present a modified HS conjugate gradient method, as one of the most remarkable methods to solve smooth and large-scale optimization problems. In the case that we have a nonsmooth convex problem, by way of the Moreau-Yosida regularization, we convert the nonsmooth objective function to a smooth function and then we use our method, by making use of a nonmonotone line search, for solving a nonsmooth convex optimization problem. We prove that our algorithm converges to an optimal solution under standard condition. Our algorithm inherits the performance of HS conjugate gradient method.

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