RMITOpt Seminar: Dr. Chayne Planiden, University of Wollongong

Speaker:   Dr. Chayne Planiden, University of Wollongong

Title:   A Derivative-free VU-algorithm for Convex Minimisation

Date and Time:  Friday, July 19th, 3.00pm – 4.00pm

Location: Building 8 Level 9 Room 66 (AGR) RMIT City campus

Abstract:   The VU-algorithm is a superlinearly convergent method for minimizing nonsmooth functions. The algorithm separates the space into the V-space and the orthogonal U-space, such that the nonsmoothness of the objective function is concentrated on the V-space, and on the U-space the function behaves smoothly. This structure allows for an alternation between a fast, Newton-like step in the U-space and a proximal-point step in the V-space, thus increasing convergence speed.

We establish a derivative-free variant of the VU-algorithm, the first of its kind, and show  global convergence. We provide numerical results from a proof-of-concept implementation, which demonstrate the feasibility and practical value of the approach.

Bio: Chayne Planiden received his Ph.D. from University of British Columbia in Kelowna, Canada last year. He works at University of Wollongong and specialises in nonsmooth optimisation, including the Moreau envelope and proximal mapping, proximal point algorithms, and derivative-free optimisation methods.

 

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