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libnano
C++ numerical optimization and machine learning utilities using Eigen3
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[solver] epsilon Clarke gradient test for quasi newton methods for non-smooth problems
#81
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accosmin
closed
8 months ago
accosmin
commented
9 months ago
quasi-newton methods are surprisingly accurate for non-smooth problems
but there is no evident stopping criterion
as such use the Clarke gradient to check for convergence when the function value updates are smal enough.
see the stopping criterion used in "Nonsmooth optimization via quasi-Newton methods"
accosmin
commented
8 months ago
bundle methods do already this