calvinwylie / NonsmoothAlgorithms

NonsmoothAlgorithms

Nonsmooth optimization algorithms implemented in Julia for research purposes. Designed to be used in conjunction with NonsmoothModels.

Nonsmooth BFGS

Reference: Lewis and Overton. "Nonsmooth optimization via BFGS."

Bundle and cutting plane methods

Bundle Newton Algorithm

Reference: Lewis and Wylie. "A simple Newton method for local nonsmooth optimization"