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Mathematical Programming
Article . 1983 . Peer-reviewed
License: Springer TDM
Data sources: Crossref
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
zbMATH Open
Article . 1983
Data sources: zbMATH Open
DBLP
Article . 1983
Data sources: DBLP
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A quadratically convergent method for minimizing a sum of euclidean norms

A quadratically convergent method for minimizing a sum of Euclidean norms
Authors: Michael L. Overton;

A quadratically convergent method for minimizing a sum of euclidean norms

Abstract

The author considers the problem of minimizing a sum of Euclidean norms \[ F(x)=\sum^{m}_{i=1}r_i(x) \] where the residuals \(r_i(x)\) are affine functions from \(R^n\) to \(R^l\) (\(n\geq l\geq 2,\quad m\geq 2)\). This arises in a number of applications, including single- and multi-facility location problems. The function \(F\) is, in general, not differentiable at \(x\) if at least one \(r_i(x)\) is zero. Computational methods described previously in the literature generally converge quite slowly if the solution is at such a point. A new method is described which, at each iteration, computes a direction of search by solving the Newton system of equations, projected, if necessary, into a linear manifold along which \(F\) is locally differentiable. A special line search is used to obtain the next iterate. The algorithm is closely related to a method given recently by \textit{P. H. Calamai} and \textit{A. R. Conn} [Numerical analysis, Proc. 9th bienn. Conf., Dundee/Scotl. 1981, Lect. Notes 912, 1--25 (1982; Zbl 0485.65013)]. The new method has quadratic convergence to a solution \(x\) under given conditions. The reason for this property depends on the nature of the solution. If none of the residuals is zero at \(x\), then \(F\) is differentiable at \(x\) and the quadratic convergence follows from standard properties of Newton's method. If one of the residuals, say \(r_i(x)\), is zero, then, as the iteration proceeds, the Hessian of \(F\) becomes extremely ill-conditioned. It is proved that this ill-conditioning, instead of creating difficulties, actually causes quadratic convergence to the manifold \(\{x \mid r_i(x)=0\}\). If this is a single point, the solution is thus identified. Otherwise it is necessary to continue the iteration restricted to this manifold, where the usual quadratic convergence of Newton's method applies. If several residuals are zero at \(x\), several stages of quadratic convergence take place as the correct index set is constructed. Thus the ill-conditioning property accelerates the identification of the residuals which are zero at the solution. Numerical experiments are presented, illustrating these results. The proof of the convergence rate in the nondifferentiable case involves the development of estimates for the change in eigenvalues and eigenvectors of a symmetric matrix with multiple eigenvalues which undergoes a symmetric perturbation.

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Keywords

nondifferentiable optimization, Steiner problem, nonsmooth optimization, location theory, perturbation of symmetric matrix with multiple eigenvalues, Numerical mathematical programming methods, Nonlinear programming, Fermat problem, multifacility location problem, Weber problem, Euclidean distance

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
84
Top 10%
Top 1%
Average
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