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Globalizing a nonsmooth Newton method via nonmonotone path search

Bütikofer, Stephan

In: Mathematical Methods of Operations Research, 2008, vol. 68, no. 2, p. 235-256

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    Titre
    • Globalizing a nonsmooth Newton method via nonmonotone path search
    Auteur
    • Bütikofer, Stephan. Institut für Operations Research, Universität Zürich, Moussonstrasse 15, 8044, Zurich, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Mathematical Methods of Operations Research, 2008, vol. 68, no. 2, p. 235-256. Springer-Verlag
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:312771
    Summary
    We give a framework for the globalization of a nonsmooth Newton method. In part one we start with recalling B. Kummer's approach to convergence analysis of a nonsmooth Newton method and state his results for local convergence. In part two we give a globalized version of this method. Our approach uses a path search idea to control the descent. After elaborating the single steps, we analyze and prove the global convergence resp. the local superlinear or quadratic convergence of the algorithm. In the third part we illustrate the method for nonlinear complementarity problems