Tight Optimality and Convexity Conditions for Piecewise Smooth Functions

12 January 2017
14:00
Prof. Andreas Griewank
Abstract

 Functions defined by evaluation programs involving smooth  elementals and absolute values as well as max and min are piecewise smooth. For this class we present first and second order, necessary and sufficient conditions for the functions to be locally optimal, or convex, or at least possess a supporting hyperplane. The conditions generalize the classical KKT and SSC theory and are constructive; though in the case of convexity they may be combinatorial to verify. As a side product we find that, under the Mangasarin-Fromowitz-Kink-Qualification, the well established nonsmooth concept of subdifferential regularity is equivalent to first order convexity. All results are based on piecewise linearization and suggest corresponding optimization algorithms.

  • Computational Mathematics and Applications Seminar